Preheat oven to 350 F. Cube donuts into a large bowl. Pour other ingredients on top of donuts and let soak for a few minutes. Mix all ingredients together until donuts have soaked up the liquid as much as possible. Bake for about 1 hour until center has jellied. Top with Butter Rum Sauce.
Melt butter and slowly stir in confectioners' sugar. Add rum and heat until bubbly. Pour over each serving.