Divide butter between 2 heavy large skillets and melt over medium-high heat.
Divide shallots between skillets; sauté until beginning to soften, about 5 minutes.
Divide mushrooms between skillets. Sprinkle with salt and pepper. Sauté until almost tender, about 8 minutes.
Divide Marsala between skillets; stir until evaporated, about 1 minute.
Pour 1 cup cream into each skillet; cook until sauce thickens, stirring occasionally, about 4 minutes. Season with salt and pepper.
Combine mushrooms in 1 skillet.
Can be made 1 day ahead. Cool slightly. Cover; chill. Before serving, rewarm over medium heat, thinning with more cream if necessary.
Preheat oven to 350°F Place bread slices on baking sheets. Brush with olive oil; sprinkle with pepper.
Bake until beginning to brown, about 15 minutes. Stir parsley into mushroom mixture; transfer to chafing dish.
Serve with toasts.