Whisk the egg yolks with the caster sugar in a heatproof bowl set over a saucepan of gently simmering water until the sugar has melted. Add the Marsala and continue whisking for another 6–8 minutes, or until the mixture has thickened and holds its shape.
Whip the cream in a bowl until soft peaks form. Gently fold in the egg mixture. Roughly break the sponge fingers, then fold into the zabaglione. Tip into a 1 kg (2 lb) loaf tin lined with clingfilm. Cover with clingfilm and freeze for at least 6 hours or overnight until set.
Make the coffee sauce. Heat the coffee in a small saucepan, add the granulated sugar and stir until melted. Add the liqueur and boil vigorously until the sauce becomes thick and syrupy.
Turn the semifreddo out on to a serving plate and spoon over the sauce, which can be warm or at room temperature. Serve cut into slices.