Preheat 1-2 inches of vegetable oil in a pot to a shimmering state (or use a deep fryer, if available).
In a stand mixer, combine the flour, sugar, and chopped butter to form a crumbly dough. Integrate the egg yolks one by one. Gradually add the Marsala wine in a steady stream until the dough becomes sticky. Mix until the dough stops sticking to the bowl, which should take about ten to fifteen minutes.
On a floured surface, knead the sticky dough until it is smooth, then let it rest for about ten minutes. After resting, roll out the dough until it is approximately 1/8 inch thick.
Use a three-inch ring to cut out dough circles. Wrap the dough around cannoli tubes, thinning it to 1/16 inch thick. Moisten the edges with water to seal them. Gently lower the tubes into the heated oil and fry for one to two minutes or until the cannoli shells are golden brown and crispy. Remove from the oil, allow to cool, then carefully slide the shells off the tubes. Place them on a plate lined with paper towels to cool. Allow the cannoli shells to dry out overnight.
For the dip, mix the cream cheese, ricotta cheese, powdered sugar, vanilla, and lemon juice with half of the mini chocolate chips until the mixture is smooth and thickens. Transfer the filling to a bowl and refrigerate until it firms up a bit, which should take at least three hours or ideally overnight.
Before serving, slice the cannoli shells in half at a 45-degree angle to make them easier to dip. Top the chilled dip with the remaining chocolate chips. Serve the dip with the prepared cannoli shells and enjoy!