Center a rack in the oven and preheat to 350 (F). Prepare two 9 x 5-inch loaf pans by spraying the sides with cooking spray and lining the bottoms and sides with parchment paper; spray the parchment paper as well. Set aside.
While the oven preheats, spread 1 cup walnuts on a baking sheet and toast in the oven until they smell nutty and fragrant, about 10 minutes. Set aside on a wire rack to cool.
Place 1 cup chopped soft caramel candies in a small bowl. Sprinkle 1 heaping tablespoon of flour over the caramel candies and toss with your hands until the caramels are coated in the flour. Set aside.
In a large bowl, combine 2 1/2 cups all-purpose flour, 1 cup granulated sugar, 1 tablespoon baking powder, and 1 1/2 teaspoons kosher salt. Whisk until combined.
In a medium bowl, whisk 1 large egg until foamy and a homogenous yellow color. Add 1 1/2 cups mashed bananas, 1/2 cup plus 2 tablespoons whole milk, 1/4 cup vegetable oil, and 3 tablespoons rum. Whisk until combined.
Use a tall cup or the bottom of a large measuring cup to create a well in the center of the dry ingredients (from the 4th step). Pour in the wet ingredients (from the 5th step) in the center of the well, and use a rubber spatula to stir the ingredients together until combined. Be careful not to overmix — at this point, it's okay to have one or two flour streaks left in the batter! Stir in the toasted walnuts (from the 2nd step) and the flour-covered caramel candies (from the 3rd step) just until combined. Divide the batter evenly between the two prepared pans. Bake in the preheated oven for 40 to 45 minutes (longer, if using one large pan like I did — mine took 60 minutes), or until a tester inserted in the very center of the loaf comes out with just a few moist crumbs clinging to it. Transfer to a wire rack to cool, and immediately run a butter knife around the edges to loosen any melted caramel. Let cool in the pans for 15 to 20 minutes before turning out to cool completely. Enjoy!