Bellagio is located at the end of a peninsula sticking out on Lake Como, with a lovely restaurant and observation deck (Punta Spartivento) at the tip featuring great views. A short but attractive waterfront run goes for 2 km from just south of the Melzi Gardens to the tip. About 2/3 of this is on a separate waterfront path, with pretty trees and a great water view. The road that leads to the tip, Via Eugenio Vitali, is narrow and doesn’t have water views, but the view at the end is worth the 0.5 km jaunt. For more, there are some pretty interior roads — note they’re narrow and often lack a sidewalk or shoulder. But traffic is generally light.
Just south of Bellagio, the SP583 that runs for many km along the water is a drop-dead gorgeous drive, but the road lacks any shoulder and unfortunately isn’t safe for running. Early birds might be able to squeeze in a run before the traffic picks up. Run in a northward direction, which allows you to run against traffic while enjoying gorgeous water views.