In a mixing bowl, whisk together the mascarpone cheese, icing sugar, and vanilla extract until smooth and creamy.
In another bowl, stir together the cooled coffee and Marsala wine.
Quickly dip each ladyfinger into the coffee mixture. Do not soak them. Just a quick dip on each side is enough. Arrange them in a rectangular dish in a single layer.
Spread half of the mascarpone mixture evenly over the ladyfingers.
Repeat with another layer of dipped ladyfingers.
Spread the remaining mascarpone mixture on top in an even layer.
Dust the top lightly with cocoa powder. Cover the dish and refrigerate for at least 4 hours. For best flavor, let it chill overnight.
Serve chilled and enjoy.