Preheat oven to 375 degrees F.
Beat egg yolks with sugar and vanilla in a warm bowl. Add lemon zest. Stiffly beat egg whites. Fold into egg yolk mixture. Fold in flour. Spread mixture onto an 8 by 10-inch baking sheet. Bake for 25 minutes. When cool, cut into 3 even rounds to fit mold. Soak with creme de cacao and rum.
Place sugar, egg yolks, water, and marsala into double boiler. Add almond extract and whisk for 5 minutes on low heat until thick and smooth. Remove from heat and cool. Fold in whipped cream.
In the bottom of a greased mold, place marrons, then add 1/3 of zabaglione mixture, then a layer of cake. Repeat: zabaglione, then cake, 2 more times. Cover with plastic film and freeze for 24 hours.
To serve, dip mold into hot water and invert onto dish.