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Bring 6 quarts of water to a boil and add 2 tablespoons of salt. Set up an ice bath nearby. Blanch the asparagus in the boiling water for 90 seconds. Using tongs, transfer the asparagus to the ice bath. Let cool, then transfer the asparagus to a plate lined with paper towels. Reserve the ice bath.
In a small bowl, combine the shallots, sherry vinegar, mustard, and salt and pepper to taste. Gently whisk in the olive oil until the mixture is emulsified. Set aside.
To prepare the zabaglione, in a stainless-steel bowl, whisk the egg yolks, 2/3 tablespoon of the pepper, and the Marsala until foamy. Place the bowl over simmering water and continue whisking until the mixture is thick, about 10 minutes. Set the bowl over the ice bath and whisk until chilled, 4 to 5 minutes.
Whip the cream until stiff peaks form. Carefully fold the whipped cream, 2 tablespoons of the Pecorino Romano, and 1 tablespoon of the pepper into the chilled zabaglione. Refrigerate until ready to serve.
To assemble the dish, place 6 spears of asparagus on each of 4 chilled dinner plates. Stir the parsley into the vinaigrette and drizzle it around and across the asparagus. Spoon a dollop of the zabaglione onto each plate and sprinkle with the remaining tablespoon of cheese and parsley. Serve immediately.