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1
Bring 6 quarts of water to a boil and add 2 tablespoons of salt.
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2
Set up an ice bath nearby.
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3
Blanch the asparagus in the boiling water for 90 seconds. Using tongs, transfer the asparagus to the ice bath. Let cool, then transfer the asparagus to a plate lined with paper towels. Reserve the ice bath.
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4
In a small bowl, combine the shallots, sherry vinegar, mustard, and salt and pepper to taste.
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5
Gently whisk in the olive oil until the mixture is emulsified. Set aside.
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6
To prepare the zabaglione, in a stainless-steel bowl, whisk the egg yolks, 2/3 tablespoon of the pepper, and the Marsala until foamy.
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7
Place the bowl over simmering water and continue whisking until the mixture is thick, about 10 minutes.
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8
Set the bowl over the ice bath and whisk until chilled, 4 to 5 minutes.
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9
Whip the cream until stiff peaks form. Carefully fold the whipped cream, 4 tablespoons of the Pecorino Romano, and 1 tablespoon of the pepper into the chilled zabaglione.
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10
Refrigerate until ready to serve.
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11
To assemble the dish, place 6 spears of asparagus on each of 4 chilled dinner plates. Stir the parsley into the vinaigrette and drizzle it around and across the asparagus.
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12
Spoon a dollop of the zabaglione onto each plate and sprinkle with the remaining tablespoon of cheese and parsley. Serve immediately.
