Remove the zampone from the package and place in cold water. Bring to a low boil and lower heat to simmer until fully cooked, depending on the package instructions, 1 1/2 to 2 hours. Remove and allow to cool.
Meanwhile, whisk the egg yolks, wine and vinegar until foamy. Place bowl over simmering water and continue whisking until thick and mounding. Remove from heat and continue whisking until cool. Slice the zampone into 3/4-inch thick pieces. Heat the oil in a 12 to 14-inch saute pan until just smoking. Dredge the zampone slice in Parmigiano, gently place in the pan and cook until lightly crusty and golden brown, turn and repeat on the second side. When finished, drain each piece on a paper towel and plate with 2 tablespoons of the zabaglione and a drizzle of real balsamic vinegar.