In a small bowl, combine flour, walnuts, brown sugar and cocoa. Stir in the melted butter. Press the mixture into an ungreased 9-inch pie plate. Bake in a preheated 375-degree oven for 8-10 minutes or until set. Cool on wire rack.
In a heavy saucepan, combine sugar and cornstarch, then stir in eggnog. Cook over medium heat, stirring until thickened and starting to bubble. Reduce heat to low, cooking and stirring 2 more minutes. Remove from heat.
In a small microwave-safe bowl, sprinkle gelatin over 1/4 cup cold water and let stand for 1 minute. Microwave on high for 20 seconds; stir and let stand 1 minute or until gelatin is dissolved completely. Stir into the eggnog mixture.
Divide the filling mixture in half. In a small bowl, whisk the cocoa and remaining water until blended; add this to 1/2 of the eggnog mixture. Stir the rum extract into the remaining half.
Refrigerate both mixtures, covered, until partially set.
Fold 2 cups of whipped topping into the rum mixture and spoon into the crust. Carefully spread chocolate mixture over the top. Refrigerate, covered, for at least 2 hours before serving. You may garnish with additional whipped topping and sprinkle with nutmeg if desired.