Preheat the oven to 350°. In a large skillet, heat the butter over medium-high heat until just melted. Add the mushrooms 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 2 cups water, the parsley, 1 teaspoon salt and 1/2 teaspoon pepper.
In a greased 9-inch-by-13-inch casserole, spread the rice in an even layer; top with the chicken. Pour the mushroom gravy on top. Cover snugly with foil and bake until bubbly, about 35 minutes. Discard the foil, sprinkle the parmesan on top and bake for 5 minutes more.