Heat butter, pineapple juice, honey, chili powder and cayenne pepper in small saucepan over medium heat; bring to a boil. Reduce heat and simmer, stirring occasionally, over medium heat, until mixture begins to thicken slightly, about 10 minutes. Stir in rum; remove glaze from heat. Set aside to cool completely.
Brush mango slices with some of the glaze and let stand 10 minutes. Spray nonstick ridged grill pan with nonstick spray and set over medium-high heat. Add mango slices and grill, turning occasionally, over medium-low heat, until browned and nicely marked, 3 to 5 minutes.
Place two mango slices in each of 4 dessert bowls. Top each serving with 1 scoop ice cream, 2 tablespoons toasted coconut, and 1 tablespoon almonds; top with additional mango slices. Drizzle each with remaining glaze. Serve with lime wedges, if desired.