1) To make the tiramisu filling: In the bowl of a tabletop mixer, with whip attachment, beat cream and sugar until fluffy and soft peaks form. Reserve 250ml and refrigerate to use later as garnish. Add cheese to remaining cream on low speed, gradually increasing to high speed for 30 seconds or until thoroughly incorporated. Whisk yolk in bowl over pot of simmering water until warm and pale yellow in color. Add the Marsala and vanilla. Cover and refrigerate until ready to assemble.
2) To make the coffee syrup: In a medium sauce pot combine all ingredients except Marsala and vanilla. Reduce syrup to 240ml. Let cool. Add Marsala and vanilla, to taste.
3) To assemble: Break the sponge fingers in half and dip into coffee syrup. Count 5 seconds and remove from liquid to drain on baking tray. Repeat until all cookies have been dipped. Place 2 pieces of soaked sponge fingers into sides of 60ml Sherry glasses. Drizzle 1 tbsp of syrup over sponge fingers and let absorb. Spoon tiramisu cream filling into each glass. Sprinkle tops with cocoa powder. Garnish with dollops of whipped cream and chocolate shavings. Serve immediately.