Combine milk, sugar, cornstarch and salt in a medium saucepan off the heat. Whisk until smooth. Add egg yolks and lemon zest and whisk to combine.
Turn on stove to medium heat and cook, whisking often, until mixture has thickened and bubbles just begin to form, about 10 minutes. Remove from heat and whisk in butter and lemon juice.
Strain pudding through a fine mesh sieve into a large bowl and let cool to room temperature. Cover loosely and chill until set, about 3 hours.
To assemble parfaits, remove pudding from the refrigerator and whisk until smooth.
Pull out 4 parfait glasses and scoop a spoonful of lemon pudding into the bottom of each. Top each with ¼ cup blueberries. Cover with another layer of lemon pudding and top with ¼ cup diced kiwi. Repeat layering with pudding, peaches, pudding, orange segments, pudding and strawberries. Sprinkle strawberry layer with a tablespoon of shredded coconut and serve.