Jerry West for sure has done both -- as a player, he was part of the 1972 Laker team that won it all; as GM, he put together the Shaq-Kobe teams that won three titles.
I might be mistaken, but I think Alex Hannum won as a player, a coach and a general manager. He was the player-coach of the 1958 St. Louis Hawks and (I believe) coach-general manager of the 1967 Philadelphia team that finally beat the Celtics. He was also coach/general manager for the 1969 Oakland Oaks, which won the ABA title with Rick Barry.
There may be others, but you are right that it would be a rare accomplishment.
Let's see if Ferry can accomplish it -- although to be fair, the Cavs are in the finals because of James and he had nothing to do with acquiring LeBron. The real test of his mettle as a GM will be his ability to keep LeBron in Cleveland and find enough talent to surround him to win the title.