Preheat the oven to 350 degrees . In a large skillet, heat the butter over medium-high heat until just melted. Add the mushrooms and shallot, and cook, stirring occasionally, until softened, about 5 minutes. Sprinkle the flour on top and stir in for 1 minute. Stir in the marsala and cream and simmer, stirring occasionally, until slightly thickened, about 3 minutes. Stir in chicken stock or water, the parsley, salt and pepper to taste.
In a greased 9-inch-by-13-inch casserole, spread the chicken in an even layer; top with the orzo. Pour the mushroom gravy on top. Cover snugly with foil and bake until bubbly, about 35 minutes. Discard the foil, sprinkle the asiago on top and bake for 5 minutes more.