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Beat together the mascarpone, double cream, coconut cream, icing sugar and rum using an electric whisk until thick enough to leave a prominent trail when you turn it off and lift it, then fold through the lime zest.
Make the soaking liquid by stirring together the mango juice, lime juice and rum in a jug, then pour into a shallow bowl.
Get a medium dish ready (about 30 x 20cm). Dip half the sponge fingers in the soaking liquid for about 10 seconds on each side and place in a single layer in the dish, then drizzle over 3-4 tbsp of the liquid. Top with a layer of half the mascarpone cream, then a layer of sliced mango (using about half). Repeat with the remaining sponges, mascarpone cream, and mango slices. Chill for at least 5 hrs, or preferably overnight. Just before serving, sprinkle over the flaked coconut and lime zest curls.