Prepare and bake cake according to package in a 19X13X2 pan. Cool.
In a bowl whisk milk and pudding, let stand to thicken. Stir in pineapple, then spread over cake.
Prepare whipped topping and set aside.
In another bowl, beat cream cheese, sugar, and vanilla until smooth. Beat in 1 cup whipped topping, then fold in remaining pudding, then fold in remaining whipped topping. Sprinkle with coconut. Cover and refrigerate for 3 hours.