Preheat oven to 350° F. Line 15 x 10-inch jelly roll pan with parchment paper. Parchment should extend about 1 inch above edge of pan. Spray parchment with nonstick cooking spray. Sift baking cocoa over a clean kitchen towel that is slightly larger than the pan.
Beat cake mix, water, eggs and oil in large mixer bowl on low speed until moistened and combined. Beat on medium speed for 1 minute. Spread into prepared pan.
Bake for 11 to 12 minutes or until wooden pick inserted in cake comes out clean. Immediately turn cake onto prepared towel. Carefully peel off parchment paper. Roll cake and towel together, starting with narrow end. Place on a wire rack to cool completely.
Beat cream cheese in large mixer bowl on medium speed for about 2 minutes or until creamy. Beat in powdered sugar until light and fluffy. Scrape down side of bowl. Beat in 3 tablespoons Coffee mate Peppermint Mocha Flavor Liquid on low speed until incorporated.
Unroll cake; spread filling over cake. Carefully re-roll cake. Wrap cake in plastic wrap; refrigerate for at least one hour or until the cake is firm enough to slice.
Microwave morsels and 1/4 cup Coffee mate Peppermint Mocha Flavor Liquid in medium, microwave-safe bowl on HIGH (100%) power for 45 seconds; whisk until smooth.
Place cake on serving platter or on wire rack with parchment paper underneath to catch the drips. Pour chocolate sauce over cake. Sprinkle with peppermint candies. Refrigerate until chocolate is set. Slice and serve.