Combine the cream, mascarpone, Marsala and sugar in a large mixing bowl and whisk until the mixture has the consistency of thickly whipped cream.
Pour the made up coffee into a shallow dish. Dip the sponge fingers into the coffee, turning for a few seconds so that they are evenly soaked, then layer into the base of a large glass serving bowl.
Spread the mascarpone mixture on top of the sponge fingers. Sift the cocoa powder on top in an even layer and serve.