Preheat the oven to 400 F. Trim the beet stems, then rub the beets with some of the oil and season with salt. Wrap the red and yellow beets separately in aluminum foil and roast on a sheet tray until a knife is easily inserted into the center of the beet, about 45 minutes. Remove the foil and allow them to cool.
In a small bowl, mix the mascarpone with the lemon zest and 3 tablespoons lemon juice. Season with salt and pepper.
Keeping the yellow and red beets in separate bowls, peel and cut them into bite-sized wedges.
Dividing evenly, dress the beets with olive oil and the remaining tablespoon of lemon juice, and season with salt and pepper. Slice the larger leaves from the mint sprigs and set them aside. Using a Japanese mandoline, slice the raw candy cane beet into very thin slices.
Make a bed of the mascarpone on a plate and arrange the yellow and red beet salads on top. Top with the mint and candy cane beets before serving.