Separate the egg whites from the yolks and have the yolks in a large bowl. Save a small amount of the whites for later, if making the puff pastry bites (see below).
Combine the water and sugar in a pot with a thicker bottom and set on high heat with a candy thermometer inside. Avoid stirring, and if you must do so use the tip of the thermometer very gently. Bring to a rolling boil, it will need to reach 120C.
When the thermometer shows 110C (230F) start whisking your egg yolks in their bowl, with an electric mixer at medium speed. When the sugar syrup has reached 120C, remove from the stove and pour in one continuous stream into the egg yolk bowl, always mixing until it is all incorporated.
Keep mixing, even increasing to high speed until the temperature of the mixture lowers to room temperature (or just slightly above, it should feel lukewarm max). The mixture will become fluffier and lighter in colour. Just before you're done, mix in one tbsp of marsala.
For the mascarpone cream
In another bowl add the mascarpone and give it a light whip to incorporate some air as it had been quite compact in its packet. Always mixing at medium-low speed, pour half of the egg mixture into the mascarpone. When incorporated, add the rest of the egg cream and whisk until smooth.
For the puff pastry bites
Unroll a sheet of puff pastry on a baking sheet. Cut into diamonds with a knife or a pizza cutter. Lightly brush some egg white all over the surface, then proceed to dust the cinnamon and sprinkle the brown sugar. Bake at 200C (392F) for 10 minutes, it should inflate around the cuts as it bakes. Once done, let cool completely.
Notes
While making the sugar syrup it is important to avoid stirring once it starts boiling to prevent re-crystallization. It is okay to lightly stir with the thermometer, though, as it already has the same temperature as the content of the pot; but never insert a cold spoon in there.
This cream can be stored airtight in the fridge for up to 3 days. Does not freeze well, so freezing is not recommended.
The nutritional information provided is made with an online calculator and only meant to be used as a guideline.