Heat oven to 350 degrees.
Prepare cake batter in 2½-quart ovenproof bowl, as directed on package; scrape side of bowl down. In separate bowl, beat cream cheese, egg and granulated sugar until well blended.
Spoon this mixture into the center of batter in bowl. Bake 1 hour 5 minutes or until toothpick inserted in center comes out clean. Cool cake in bowl for 10 minutes.
Loosen cake from bowl with knife; invert onto wire rack. Remove bowl; cool completely. Beat dry pudding mix, powdered sugar and milk in medium bowl with whisk 2 minutes.
Stir in Cool Whip. Refrigerate until ready to use. Place cake on plate; frost with pudding mixture. Cover with coconut. Keep refrigerated.