Remove the skin from the melon, cut lengthwise into quarters, remove the seeds with a spoon. Cut the quarters into bite-sized pieces and refrigerate for 1 hour.
Meanwhile, cut vanilla bean in half lengthwise and scrape out pith with a sharp kitchen knife. Place vanilla pulp, coconut milk and palm sugar in a saucepan and heat gently, stirring, until sugar dissolves. Cool the mixture briefly and also place in the refrigerator.
Form cooled melon pieces into a serving bowl, pour coconut milk over.