To prepare cassata: Line a 9x5-inch loaf pan with plastic wrap.
Whisk together ricotta and sugar in a medium bowl. Stir in candied fruit, chocolate and lemon zest.
Slice angel food cake with a serrated knife into ½-inch-thick slices. Use the largest slice to line the bottom of the loaf pan, filling in with small pieces if necessary. Brush with ⅓ of the rum. Spread with ½ of the ricotta filling. Arrange a second layer of cake slices on top, brush with ½ of the remaining rum and spread the remaining filling over top. Arrange the remaining slices over top and brush with remaining rum. Cover with plastic wrap and weight down with another loaf pan and a heavy weight or can. Refrigerate overnight.
To make chocolate sauce: Combine cocoa, cornstarch and sugar in a small, heavy saucepan. Gradually whisk in corn syrup and milk. Bring to a boil over medium heat, stirring constantly, and cook for 30 seconds. Remove from the heat and whisk in vanilla and oil. Let cool and serve at room temperature or chilled.
To serve cassata: Invert the loaf pan onto a serving dish. Remove plastic wrap. Slice and serve with chocolate sauce.
Make Ahead Tip: Cover and refrigerate the sauce (Step 4) for up to 1 week.