Empty cream cheese into a mixing bowl and beat with an electric mixer until fully smooth. Slowly beat in powdered sugar, coconut milk, and vanilla. Beat on medium-high speed for about 1 minute. Gently fold in thawed (not frozen) Cool Whip into mixture and gently stir until combined.
Separate cheesecake mousse equally into 3 prep bowls. 1/3 will remain white. Add food coloring to another 1/3 to make orange and to the final 1/3 to make yellow. Scoop each of the 3 colors into separate piping bags (or large Ziplock bags and cut off small piece of one of the bottom corners to create a piping bag).
Starting with yellow, squeeze a small layer of mousse into each dessert cup or bowl (clear glass or plastic cups/bowls will work best to show off your hard work) -- we used glasses similar to these. Then, gently squeeze a small layer of orange into each cup/bowl. Finally, repeat with the white mousse.
Chill desserts for at least 30 minutes (or up to 1 day) before serving. Add a few candy corn candies to the tops before serving!