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Heat the olive oil in a large skillet over medium-high heat. Once the oil is hot, add the anchovies, garlic and onions. Saute until the anchovies are melted and the onions are just beginning to brown, about 5 minutes. Stir in the capers and sage, and saute until the sage is fragrant, 2 more minutes. Add the seasoned livers to the hot pan and saute until browned, 5 to 6 minutes. Add the vin santo, and cook until the pan is almost dry (you still want a bit of liquid to keep the liver moist), about 6 minutes.
Add the mixture to the bowl of a food processor along with the parsley and lemon zest, and pulse until almost smooth (you still want a bit of texture). Taste and adjust the salt and pepper, if necessary. Top the toasted bread with the liver and serve.