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PREHEAT heat oven to 375°F. Mix wafer crumbs, pecans and butter; press firmly onto bottom and up side of 9-inch pie plate. Bake 5 min.; cool.
MICROWAVE chocolate, 1 cup of the marshmallows and 1/2 cup of the milk in microwaveable bowl on HIGH 2 min. Stir until chocolate and marshmallows are completely melted and mixture is well blended. Pour into crust. Refrigerate until ready to use.
PREPARE pudding as directed on package, using remaining 1-1/2 cups milk. Stir in rum. Place plastic wrap on surface of pudding; refrigerate 30 min. or until cooled. Gently stir in the whipped topping and remaining 1 cup marshmallows. Pour over chocolate layer in pie plate. Refrigerate at least 4 hours. Store leftover pie in refrigerator.