Zabaglione: Combine egg yolks, sugar and salt in a large stainless steel bowl. Whisk in the Marsala and Sherry. Fill a large bowl 1/4 full of ice water set aside. Place first bowl over a pot of boiling water and whisk the egg mixture vigorously for about 5 minutes, until it is thick and tripled in volume. Immediately put over bowl of ice water and whisk until cold. Fold in whipped cream. Refrigerate until ready for use.
Sponge cake: Preheat oven to 350 degrees F. Line the bottom of two 12- x 18-inch jelly roll pans with parchment paper. Sift together flour, baking powder, and salt. Set aside. Put the yolks and sugar in the bowl of an electric mixer. Using the whisk attachment, whip on high speed until thick and pale yellow. Reduce to medium speed and slowly add the water and the vanilla. Scrape sides and bottom of the bowl. Return to high speed and continue whipping for about 5 minutes, until mixture is thick and ribbony. Fold the dry ingredients into the sugar egg mixture. Put the egg whites in a separate bowl of the mixer. With a clean dry whisk attachment, whip the egg whites on high speed until soft peaks form. Fold half the egg whites into the batter and then fold in remaining whites. Divide batter between the two pans and spread out evenly. Bake for 15 minutes, until golden brown and springs back when lightly touched.
Assembly: Cut the sponge cakes into three 9-inch round circles and then cut each in half horizontally, to make six 9-inch circles. You will need 5 for this recipe. (Freeze others for later use.) Put a cake circle in bottom of a 9-inch springform pan. Top the cake layer with 1 1/4 cups of zabaglione. Continue layering cake and zabaglione in this manner, ending with a layer of cake. Refrigerate the cake for 1 to 2 hours to allow to set. Unmold the cake by running a hot dry knife around the edge of the pan and then releasing the latch on the springform. Put the heavy cream and the sugar in the bowl of an electric mixer. With the whisk attachment, whip on high speed until soft peaks form. Frost the sides and top of the cake. Decorate the top with chocolate shavings and sides with crushed amaretto cookies.