Preheat the oven to 400 degrees and line a baking sheet with foil and place a wire rack on top
Clean the mushrooms with a damp cloth to remove any dirt and remove stems.
Toss the mushroom caps 2 tablespoons olive oil and place them stem side down on the wire rack.
Bake at 400 for 10 minutes.
Remove from the oven and set aside to let the excess water in the mushroom caps drain while you prepare the cheesy sausage filling.
Turn oven temperature down to 350 degrees
Remove casings from the sausage (if needed) and sauté in a large skillet with 1 tablespoon olive oil over medium high heat until browned braking the meat up with a wooden spoon.
Once the sausage is browned, remove with a slotted spoon to a bowl and set aside.
Sauté diced shallots over medium heat for 4 minutes in the oil left from the browned sausage.
Add minced garlic and sauté for 30 seconds until fragrant.
Add marsala or sherry wine and stir until mostly evaporated scraping up any browned bits from the bottom of the pan from the sausage.
Add the shallot, garlic and marsala mixture to the bowl with the sausage and stir together to combine.
Add the ground sage, parmesan cheese, mascarpone cheese and egg to the sausage mixture and stir until combined.
Take the mushrooms and fill them generously with the sausage mixture, then place them back on the wire rack filling side up. Once all mushrooms are filled, place back in the oven at 350 degrees for 20 minutes or until golden brown on top.
Remove from the oven and garnish with freshly grated parmesan and parsley. Serve warm.