Brew strong coffee or espresso and let it cool completely. Warm coffee makes ladyfingers turn soggy faster.
Separate the eggs and place the yolks in a heatproof metal bowl. Let the yolks sit at room temperature for about 15 minutes.
Set the mascarpone out for 15 to 20 minutes so it blends smoothly, but keep it cool so it does not soften too much.
Chill your mixer bowl and beaters for 10 minutes so the cream whips faster and holds its shape.
Make the double boiler. Add about 1 inch of water to a saucepan, bring it to a boil, then reduce to a gentle simmer. The bowl should sit over the pan without touching the water.
Add the sugar to the egg yolks and whisk to combine. Place the bowl over the simmering water and whisk constantly for 8 to 10 minutes until the mixture turns pale, thickens, and falls in ribbons. Use an instant read thermometer and whisk until the sabayon reaches about 165 F.
If the mixture starts to feel too hot or you see any egg setting at the edges, lift the bowl off the heat for 10 to 15 seconds while whisking, then return it to the pan.
Remove the bowl from the heat and whisk for 1 to 2 minutes to cool slightly. The sabayon should be warm, not hot.
Add the mascarpone to the warm sabayon. Mix gently just until smooth and combined. Do not overmix.
In a chilled bowl, whip the cold heavy cream on low speed, then gradually increase to medium speed. When it begins to thicken, add the vanilla and optional pinch of salt. Whip to medium stiff peaks. The cream should hold its shape but still look silky.
Fold the whipped cream into the mascarpone mixture in two additions. Fold gently until no streaks remain. Stop as soon as the mixture looks uniform and airy.
Assemble. In a shallow dish, combine cooled coffee with Kahlua if using. Working one or two ladyfingers at a time, dip each ladyfinger for 1 second per side, then place in the dish. You can also brush the coffee on for more control. The goal is moist, not soaked.
Arrange a single layer of dipped ladyfingers in the bottom of a 9 by 9 inch dish. Spread half of the cream evenly over the layer.
Add a second layer of quickly dipped ladyfingers. Spread the remaining cream on top and smooth the surface.
Cover and refrigerate for at least 6 hours. Overnight is best for the cleanest slices.
Right before serving, dust generously with cocoa powder using a fine mesh sieve.