[...] you shouldn't go chasing Rimbauds [rainbows...]
nice joke. Would never work on a Frenchman I guess, but still nice.
(I remember somewhen in the 90s I been telling a friend (excited voice): "hey tonight, there's a documentary on Rimbaud on TV!" - and he: "what the hell do you want to watch something about Rambo for?!?" - so much for wordplay.)
I think, concerning the context - and please correct me whatsay - he was basically saying:
"Nick Cave, like Rimbaud, likes to come up with provoking statements, but still he is a sweetheart."