Heat the oven to 325℉ and chop the pancetta, shallot, sage, and parsley.
Clean and prepare the mushrooms by removing and discarding the stems. Gently toss the mushroom caps with the Madeira and 3 tablespoons of the olive oil. Set aside while you prepare the stuffing.
Place a large skillet over medium heat and add the remaining 1 tablespoon of olive oil. Add the chopped pancetta and cook, stirring frequently until it is crisped, about 5 to 8 minutes.
Add the chopped shallot and sage. Cook the mixture, stirring occasionally until the shallot is softened, about another 5 minutes.
Turn off the heat under the skillet and then add the mascarpone, stirring to melt and combine evenly throughout the mixture.
Then add the freshly grated Parmigiano Reggiano, breadcrumbs, and parsley. Mix together well and season to taste with salt and pepper. Allow the stuffing mixture to cool briefly.
Generously fill the mushroom caps with stuffing, arranging them snugly in a shallow baking dish. Bake about 45 minutes, until the mushrooms are very tender and the stuffing is golden.