There is no cholesterol in coconut milk, or in any vegetable/fruit/nut. Cholesterol is only found in animal products.
However the saturated fat content of coconut milk is quite high. This is probably bad news, since saturated fats can raise your cholesterol levels,, but there are some people who have been saying that the saturated fat in coconut milk is different from the saturated fat in other things, and even go so far as to say that it's good for your circulation. The most unbiased opinion I've ever seen on this stuff says that the jury is still out. Not enough testing from either side - it's mostly just the "it's bad" group pointing out the saturated fat content, and the "it's good" group pointing out anecdotal evidence of healthy Somoans.
The best advice seems to be to use coconut milk in moderation - so, what else is new?
Here's a pretty good answer from Dr. Andrew Weil:
http://www.drweil.com/drw/u/id/QAA316479
As far as coconut milk and cream, it's really just marketing of different qualities of coconut milk. Coconut milk is made by taking the meat, pureeing with water and squeezing out the milk, just like with other nut milks. As far as I can tell, coconut cream is just the extra fatty part that rises the top of the milk, after it's settled. You'll usually find it sticking to the top of the can. You can get lighter coconut milk that has less of this stuff and has a lower fat content. It works just as well in most recipes.
I believe there are also some products that are marketed as coconut cream that have less water content then our standard coconut milk.