In medium saucepan over medium heat, bring whole milk, cinnamon sticks and nutmeg to simmer. Remove pan from heat; cover and let steep 10 minutes; remove and discard cinnamon sticks.
Meanwhile, in blender, blend together corn, coconut milk, sugar and cornstarch until smooth, 1-2 minutes. Using fine-hole mesh strainer, strain corn mixture into saucepan of steeped milk, pressing out all liquid; stir to combine.
Bring corn mixture to simmer over medium heat, stirring frequently and scraping bottom of pot with flat spatula to prevent scorching. Simmer, stirring constantly, until thick and bubbly, 1 minute. Divide corn mixture evenly among 6 small dessert cups, or one medium-large serving bowl; cool about 10 minutes. Cover and transfer cups to refrigerator; chill until cold and set, at least 45 minutes. Garnish with ground cinnamon, if desired.