To make zabaglione: In the top of a double boiler, beat yolks and 1/4 cup sugar until smooth and pale yellow. Place over simmering water and gradually beat in Marsala. Continue to beat over simmering water until soft mounds form, 5 to 10 minutes. Transfer to a cool bowl, cover and refrigerate 30 minutes.
Whip cream with 2 tablespoons sugar until soft peaks form. Fold in mascarpone and zabaglione. Cover and refrigerate 1 hour.
In a small bowl, combine coffee, 2 tablespoons sugar, brandy and vanilla. Arrange 16 sponge fingers in the bottom of a 20x30cm dish. Spoon about 1 tablespoon of coffee mixture over each biscuit. Sponge fingers should be soaked, but not crumbling. Spoon one-third of the cheese mixture over the sponge fingers and spread evenly. Sprinkle with 1 tablespoon cocoa. Repeat layering twice. Cover and refrigerate 5 hours before serving.