Heat oven to 350°F (176ºC) with racks set in upper-third and lower-third of oven. Line a baking sheet with foil. Place potatoes, cut side down on prepared sheet and prick skins with fork.

Roast potatoes until very tender 1–1½ hours. Cool completely on sheets. Increase oven to 400°F (204ºC).

Heat 2 tablespoons oil over medium-high in a sauté pan until shimmering. Add sage and cook until starting to brown and crisp, 2–3 minutes.

Transfer sage to a paper-towel lined plate. Add bread to remaining oil in pan and cook, stirring frequently, until crispy and golden brown, about 4 minutes; season with salt and pepper.

Heat remaining tablespoon oil in sauté pan over medium, add shallot and cook, stirring occasionally, until starting to brown, about 5 minutes.

Scoop flesh from potatoes and transfer to a blender; discard skins. Add cooked shallots, mayonnaise, Parmesan, egg, Dijon, nutmeg and ¼ teaspoon each salt and pepper to blender with potatoes; blend until smooth.

Transfer potato mixture to a shallow 1-quart baking dish, smooth top with a spatula then create some divots.

Sprinkle sage and breadcrumbs evenly over sweet potatoes. Bake casserole on upper rack until top is golden and crisp, 20-25 minutes. Sprinkle lemon zest over top and cool 10 minutes.