Brew Thai tea and let steep for 5-7 minutes. Remove tea bags or strain loose leaf. Stir in 1/4 cup sweetened condensed milk and rum (if using). Let cool slightly.
In a separate bowl, whisk together mascarpone cheese, remaining 1/4 cup sweetened condensed milk, heavy cream, and granulated sugar until smooth and creamy.
Lightly dip each ladyfinger into the cooled Thai tea mixture. Do not over-saturate; ladyfingers should be moist but not soggy.
Arrange a layer of tea-soaked ladyfingers in the bottom of a baking dish (approximately 9x13 inches).
Spread half of the mascarpone cream mixture evenly over the ladyfingers.
Repeat layers: Arrange another layer of tea-soaked ladyfingers over the cream, followed by the remaining mascarpone cream.
Cover the dish with plastic wrap and refrigerate for at least 4 hours, or preferably overnight, to allow the flavors to meld and the dessert to set.
Before serving, dust generously with cocoa powder. Garnish with star anise or orange zest, if desired.
Cut into squares and serve chilled.
Optional Tips: For a stronger tea flavor, reduce the amount of water used to brew the tea. If rum is not desired, substitute with additional Thai tea or a teaspoon of vanilla extract. For a richer flavor, use full-fat mascarpone cheese and heavy cream. Ladyfingers can be store-bought or homemade.