Measure the coconut milk and syrup into a saucepan, and whisk together to blend well.
Turn the heat to a medium setting, and add the vanilla extract as you continue to stir.
Blend in the lemon zest and juice.
As it reaches a boil, turn the heat down to a low setting, just enough to keep it simmering.
Measure the arrowroot starch into a small bowl, and spoon in about the same amount of the mixture from the saucepan. Blend to make a smooth slurry/paste.
Stir the arrowroot paste back into the saucepan, and heat back to a simmer.
Continue to stir as it thickens to the desired level.
Remove from the heat, and spoon into serving bowls.
Cover with plastic wrap, and refrigerate until set, or overnight.