In large bowl, beat first 5 ingredients until soft peaks form (about 3 minutes).
In small bowl, beat 1 cup whipping cream, vanilla and 2 tablespoons powdered sugar until soft peaks form (about 2-3 minutes).
To Serve: Place 1 teaspoon Kahlua in the bottom of each of 6 martini glasses. Remove top half of ladyfingers from package, keeping them attached.
Separate ladyfingers into sets of two, keep each set attached. Place one set of two, upside down, over the Kahlua in each glass. Make sure ladyfingers do not touch Kahlua, so Kahlua is not absorbed (ends of ladyfingers should curve up the sides of glass slightly).
Carefully spoon 1/2 cup mascarpone mixture over ladyfingers in each glass, smoothing around in glass. Top with a dollop of whipped cream. Separate the remaining ladyfingers. Fan a set of two and stand up next to edge of each glass slightly pushing ends into mascarpone mixture. Dust with cocoa.
Desserts may be made up to 2 hours ahead and chilled.