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Bring 6 quarts of water to a boil, then stir in 2 tablespoons of salt. Have an ice bath ready nearby.
Blanch the asparagus in the boiling water for 90 seconds. Use tongs to quickly transfer the blanched asparagus into the ice bath to stop the cooking.
Once the asparagus has cooled in the ice bath, transfer it to a plate lined with paper towels; keep the ice bath handy.
For the vinaigrette, combine the shallots, sherry vinegar, and mustard in a small bowl, seasoning with salt and pepper to your liking. Gently whisk in the olive oil until the mixture thickens and emulsifies, then set it aside.
To begin the zabaglione, combine the egg yolks, 2/3 tablespoon of pepper, and Marsala in a stainless-steel bowl. Whisk until the mixture is light and foamy.
Place the stainless-steel bowl with the zabaglione mixture over a pot of simmering water — make sure the bowl doesn't touch the water. Continue whisking steadily for about 10 minutes, until the mixture is thick enough to coat the back of a spoon.
Immediately transfer the bowl to the reserved ice bath and whisk for another 4 to 5 minutes, until the zabaglione is thoroughly chilled. In a separate bowl, whip the heavy cream until it forms stiff peaks. Gently fold the whipped cream, 4 tablespoons of Pecorino Romano, and 1 tablespoon of pepper into the chilled zabaglione. Refrigerate until you're ready to serve.
To assemble, arrange 6 spears of asparagus on each of 4 chilled dinner plates. Stir the parsley into the vinaigrette, then drizzle it generously over and around the asparagus. Finish each plate with a dollop of the zabaglione, then sprinkle with the remaining Pecorino and parsley.
Per serving
Allergen information is derived automatically from the ingredient list and is a guide, not a guarantee. Always check the packaging of the products you cook with.
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