Combine coleslaw mix, mayonnaise, milk, green onions, parsley and 2 tablespoons rub. Mix well. Chill until ready to serve.
Trim chicken thighs of visible fat. Generously sprinkle with 1/4 cup rub. Grill over medium heat 10 to 12 minutes, turning once, until chicken is cooked through and internal temperature is at least 170°F. Remove from heat, cover with foil and let rest for 5 minutes. Toast rolls on grill for 2 to 3 minutes until lightly browned.
Using two forks, shred chicken into bite size pieces. Portion onto toasted rolls; top with Slaw. Serve immediately.