In small mixing bowl beat cream cheese, ricotta cheese, mascarpone cheese, sugar substitute and milk on medium speed of electric mixer until smooth. Set aside.
In small bowl dissolve espresso powder in hot water. Stir in rum. Cool for 5 minutes.
In 4 dessert dishes or parfait glasses place half of cookie pieces. Sprinkle with half of espresso mixture. Top with half of cheese mixture and sprinkle with half of cocoa powder. Repeat layers. Spoon dollop of whipped topping on each. Refrigerate for 1 hour.