Stir together sugar, 2 cups whipping cream, and next 4 ingredients in a heavy saucepan. Cook over medium heat, stirring constantly, 20 minutes or until thickened. Cool completely. Discard vanilla bean; cool. Whisk in mascarpone.
Stir together espresso and Marsala. Dip each ladyfinger in coffee mixture, and place in a 13- x 9-inch baking dish. Pour mascarpone mixture over ladyfingers.
Beat remaining 1 cup whipping cream at high speed with an electric mixer until foamy; gradually add powdered sugar, beating until soft peaks form. Spoon over mascarpone mixture, and sprinkle with cocoa. Cover and chill 2 hours.
Note: Espresso can be prepared by stirring together 1 cup hot water and 1/2 cup ground expresso coffee. Let stand 5 minutes; pour through a wire-mesh strainer lined with a coffee filter into a glass measuring cup, discarding grounds. Measure 3/4 cup.
Note: We used Bellino Savoiardi ladyfingers.