Preheat the oven to 325 degrees.
Trim the mushroom stems and chop them finely. Set aside. Place the mushroom caps in a shallow bowl and toss with 3 tablespoons of the olive oil and the Marsala. Set aside.
Heat the remaining 2 tablespoons of olive oil in a medium skillet over medium heat. Add the sausage, crumbling it with a wooden spoon. Cook the sausage for 8 to 10 minutes, stirring frequently, until it’s completely browned. Add the chopped mushroom stems and cook for 3 more minutes. Stir in the scallions, garlic, salt, and pepper and cook for another 2 to 3 minutes, stirring occasionally. Add the panko crumbs, stirring to combine with the other ingredients. Finally, swirl in the mascarpone and continue cooking until the mascarpone has melted and made the mixture creamy. Off the heat, stir in the Parmesan and parsley and season to taste. Cool slightly.
Fill each mushroom generously with the sausage mixture. Arrange the mushrooms in a baking dish large enough to hold them all in a snug single layer. Bake for 50 minutes, until the -stuffing is browned and crusty.