Boil the milk with the vanilla bean (split in half) for a few minutes; remove from the heat and let cool to about 50° C (122° F).
Beat the whole egg and the yolks with the sugar; blend in the warm milk.
Let rest for 1 hour, then remove the vanilla bean.
Add the sifted flour, oil and rum; pour into a bowl; cover and refrigerate overnight.
Preheat the oven to 170° C (340° F).
In a small bowl, combine the flour and icing sugar.
Butter the molds; fill them with the flour-sugar mixture; turn them over on the table and tap sharply so that only a thin layer remains in each mold.
Fill the molds three-quarters full with the batter prepared the day before; bake for 90 minutes. Don't worry if your cannelés have a "burnt head" - it's normal for them to be very brown. They are done when the tip of a knife inserted into the center comes out clean.
Important: don't forget to unmold your cannelés as soon as they come out of the oven; otherwise they'll stick to the molds and break.