Heat oven to 325. Trim mushroom stems and finely chop; set aside. Place mushroom caps in a shallow bowl and toss with 3 tablespoons oil and Marsala. Set aside.
Heat the remaining 2 tablespoons of olive oil in a medium skillet over medium heat. Add sausage and crumble into small pieces; cook until browned, 8-10 minutes. Add the mushroom stems and cook 3 minutes more. Stir in the scallions, garlic, salt and pepper and cook for 2-3 minutes. Stir in the panko crumbs and mascarpone and continue cooking until the mascarpone has melted and made the mixture creamy. Remove from heat, add the Parmesan and parsley and season to taste. Cool slightly.
Fill each mushroom cap generously with the sausage mixture. Arrange in a snug single layer in a large baking dish. Bake until the stuffing is browned and crusty, 50 minutes.