For savoiardi, preheat oven to 180C. Using an electric mixer, whisk egg yolks, ¼ cup sugar and vanilla until pale and creamy. In a separate bowl, whisk eggwhites and a pinch of salt until soft peaks form, then slowly add remaining sugar and beat until stiff and glossy. Fold through yolk mixture to just combine, sift flour over and fold until just combined. Using a piping bag fitted with a 2cm nozzle, pipe 7cm-long fingers spaced 2cm apart onto lightly greased and baking paper-lined oven trays, dust with sugar and bake until golden (10-15 minutes). Transfer paper with biscuits to a wire rack to cool. Store in an airtight container between layers of baking paper for up to one week.
Whisk egg yolks and sugar in a heatproof bowl over a saucepan of simmering water until pale, add 80ml (1/3 cup) Marsala and whisk until tripled in volume and mixture holds a ribbon (8-10 minutes). Cool, then fold through mascarpone.
In a separate bowl whisk eggwhites until soft peaks form, then gently fold through mascarpone mixture.
Combine espresso and remaining Marsala. Dip 2 savoiardi at a time in espresso mixture and place in the base of each serving glass, top each with ¼ cup of mascarpone mixture, repeat to use up all savoiardi and mascarpone mixture, finishing with a layer of mascarpone mixture. Refrigerate for 3 hours or overnight. Serve dusted with cocoa powder and topped with shaved chocolate.