Remove the stems from the mushrooms and chop them finely. Set aside. Place the mushroom caps in a shallow bowl and toss with 3 tablespoons of the olive oil and Marsala. Set aside.
Heat the remaining 2 tablespoons olive oil in a medium skillet over medium heat. Add the sausage, crumbling it with the back of a wooden spoon. Cook the sausage for 8 to 10 minutes, stirring frequently, until it's completely browned. Add the chopped mushroom stems and cook for 3 more minutes. Stir in the scallions and garlic and cook for another 2 to 3 minutes, stirring occasionally. Add the panko crumbs, stirring to combine evenly with all the other ingredients. Finally, swirl in the mascarpone and continue cooking until the mascarpone has melted and made the sausage mixture creamy. Off the heat, stir in the Parmesan, parsley, and season with salt and pepper, to taste, Cool slightly.
Fill each mushroom generously with the sausage mixture. Arrange the mushrooms in a baking dish large enough to hold all the mushrooms in a snug single layer. Bake until the stuffing for 50 minutes, until the stuffing is browned and crusty.