Whisk the Sabayon: In a large bowl, beat egg yolks and sugar until thick and pale yellow.
Incorporate the Nutty Base: Fold the room-temperature mascarpone and chestnut purée into the yolk mixture until completely smooth.
Whip and Fold: In a separate bowl, whip the egg whites (or heavy cream) to stiff peaks. Gently fold into the chestnut mixture using a spatula to keep it light.
The Quick Dip: Briefly dip ladyfingers into the espresso-rum mixture (1 second per side) and line the bottom of your dish.
Layering: Spread half of the chestnut cream over the biscuits. Repeat with a second layer of soaked ladyfingers and the remaining cream.
The Set: Cover with plastic wrap and refrigerate for at least 6 to 8 hours (overnight is best).
Final Touch: Just before serving, dust heavily with cocoa powder and top with chocolate shavings.