Place milk in microwave cooker and microwave on high 3 minutes. Meanwhile, grate nutmeg. Combine nutmeg, sugar, cornstarch and salt in saucepan; whisk in egg yolks until smooth.
Gradually whisk milk into egg yolk mixture. Cook over medium heat 3–5 minutes or until mixture comes to a boil and thickens, stirring constantly (do not overcook). Remove from heat. Transfer mixture to mixing bowl; place a piece of plastic wrap directly onto surface of custard to prevent “skin” from forming. Refrigerate about 4 hours or until chilled. After it’s chilled, fold in 1 cup of the whipped topping and rum extract.
If desired, decorate eight martini glasses with crushed cookie rims. When ready to assemble parfaits, coarsely chop 16 remaining cookies. Spoon ¼ cup of the custard into each glass; sprinkle with chopped cookies. Top with remaining custard.
Garnish parfaits with whipped topping and sprinkle with additional nutmeg, if desired. Refrigerate until ready to serve. If desired, garnish with cookie.