Combine water, coffee powder and marsala in a heatproof bowl.
Using an electric mixer, beat eggs and icing sugar together for 5 minutes or until thick and creamy. Add mascarpone. Beat on low speed until just combined (do not overmix).
Dip half the sponge fingers, 1 at a time, in coffee mixture. Arrange over the base of a 5cm-deep, 28cm x 20cm (base) 12 cup-capacity dish, trimming to fit, if necessary. Spread half the mascarpone mixture over sponge layer. Repeat with remaining sponge fingers, coffee mixture and mascarpone mixture. Cover. Refrigerate overnight. Serve topped with grated chocolate.