Place egg yolks and sugar in a metal bowl. Whisk until sugar is completely incorporated and egg yolks turn a pale yellow color. Add Marsala slowly, whisking steadily. Place bowl over pan of hot water, do not allow the bowl to touch the hot water. Whisk constantly. Just before it boils, the zabaione should be thick enough to coat the back of a spoon, remove from the heat. Do not boil! Immediately remove from the heat and stir zabaione for 2 to 3 minutes longer to cool it down. Cool for about 1/2 hour, cover bowl with clear wrap and place in refrigerator to cool completely. May be prepared 2 days ahead.
Place mascarpone in a large bowl and whisk until smooth. Using an electric mixer, whip heavy cream with sugar in a medium bowl until soft peaks form. Fold into the mascarpone. Gently fold in the zabaione. Refrigerate until well chilled, about 3 hours. Can be made in the morning.
In a bowl, combine espresso while hot with sugar to help dissolve. Stir in rum and vanilla. Dip each ladyfinger quickly in mixture and place half of the ladyfingers in a deep dish. Spread half the mascarpone mixture over top. Sprinkle half the shaved chocolate over all. Layer with remaining ladyfingers, other half of mascarpone mixture, and chocolate. Refrigerate until well chilled, at least 1 hour and up to overnight. Cannot be assembled too far in advance or ladyfingers will become soggy. Just before serving, whip the whipping cream with powdered sugar. Decorate top of tiramisu with whipped cream and remaining chocolate.