Combine the sugar and marsala in a medium saucepan and bring it to a boil over medium heat. Continue to boil, swirling the pan occasionally to encourage even heating, until a candy thermometer registers 250F/120C, or a drop forms a firm ball in a cup of cold water - about 5-7 minutes.
While the syrup is cooking, put the egg yolks in the bowl of a stand mixer (or in a large bowl if you're using an electric mixer) and beat at high speed for about 5 minutes, until they triple in volume and fall in a thick ribbon when the beaters are lifted. As soon as the sugar syrup has reached the correct temperature, take it off the heat and immediately begin to drizzle it in a thin, steady stream down the inside of the bowl with the egg yolks, beating constantly. Beat until all the syrup has been incorporated, and then continue beating for another 3-4 minutes, until the mixture is just warm to the touch. Let cool completely.
In another bowl, beat together the mascarpone and crème fraîche until smooth. Beat in the cooled egg and sugar mixture, and then fold in the whipped cream and vanilla. Cover the bowl with plastic wrap and transfer to the fridge to chill for 1-2 hours.
In a shallow bowl combine the cold espresso and rum or brandy to taste.
In another small bowl, stir together the cocoa powder and powdered sugar. One at a time, dip the savoiardi into the espresso mixture, letting them soak up a bit of the liquid, then lay them in an even layer on the bottom of the pan.
When the bottom of the pan is covered (you can break some savoiardi to fill the gaps), spread half the chilled cream mixture on top. Sift half of the cocoa powder on top. Repeat with another layer of savoiardi, cream and cocoa. Cover the pan tightly with plastic wrap and refrigerate for at least 4 hours, or overnight.