Cook yolks and marsala. In a heatproof bowl, whisk together the egg yolks, sugar, and marsala wine. Place the bowl over a pot of simmering water (make sure the water doesn’t touch the bottom of the bowl). Whisk continuously. The mixture will turn pale and airy soon, then after a couple of minutes it'll thicken. It should reach 160°F (71°C) for food safety. Once thickened, turn off the heat but continue whisking for another minute or so. Then, pour the mixture into a separate bowl set it in cold water to cool. Avoid scraping the bottom to prevent burnt bits from mixing in, and strain if necessary.
3 egg yolks, 1/4 cup marsala wine, 1/3 cup sugar
Whip mascarpone and cream. In a cold bowl, whip heavy cream, powdered sugar, and vanilla until doubled in volume. Add mascarpone and whip until firm peaks form.
1 1/4 cups heavy cream, 1/2 cup powdered sugar, 2 tsp vanilla extract, 1 1/4 cups mascarpone cheese
Whip cream cheese and yolks. Beat room temperature cream cheese until smooth, then add cooled yolk mixture and combine.
2 cups cream cheese
Combine. Add the mascarpone mixture into the cream cheese mixture and whip on low until combined. Scrape down the sides to incorporate everything. Taste and add more powdered sugar if necessary. Refrigerate until needed.