Make the zabaglione: Whisk the egg yolks with 1/4 cup sugar in a medium heatproof bowl set over a saucepan of simmering water (do not let the bowl touch the water). Cook, whisking, until the sugar dissolves, about 5 minutes. With the bowl still over the simmering water, gradually whisk in 1/3 cup Marsala and cook, whisking constantly, until the zabaglione is light, foamy and the mixture registers 170 degrees F on an instant-read thermometer, about 10 minutes. Remove the bowl from the pan and let cool completely.
Put the mascarpone in a large bowl and fold in the zabaglione with a rubber spatula, then whisk until just smooth (do not overmix). Whisk the heavy cream in a medium bowl until stiff peaks form, then fold into the mascarpone mixture until well combined. Cover and refrigerate until ready to use.
Combine the remaining 1/4 cup sugar and the espresso powder in a shallow bowl; add the boiling water and stir until the sugar dissolves. Stir in the remaining 1/2 cup Marsala. One at a time, quickly dip half of the ladyfingers in the liquid, turning, until wet on both sides but not soggy (about 2 seconds per side); arrange in a single layer in a 9-inch square baking dish. Spread half of the mascarpone mixture over the ladyfingers and sprinkle with the chocolate. Repeat with the remaining ladyfingers and top with the remaining mascarpone mixture. Dust with cocoa powder. Cover with plastic wrap and refrigerate at least 4 hours or overnight.