For the Polenta, in a heavy-bottomed saucepan over medium-high heat, bring water to boil. Stir in salt and baking soda.

In a steady stream, while stirring back and forth with wooden spoon or rubber spatula, slowly pour in the cornmeal.  Bring the mixture to a boil while stirring constantly for about 1 minute.  Reduce the heat to very low and cover for 5 minutes.

 Using a whisk, whisk the polenta to smooth out any lumps that may have formed.  Scrape down the sides and bottom of the pot with a spatula.  Return the lid to the pot and continue to cook, without stirring, until the grains of the polenta are cooked (approximately 15 minutes).

In the meantime, to make the Marsala Mushrooms, in a large skillet over medium-high heat, add in the butter until melted. Add the mushrooms and cook until the mushrooms begin to brown, 3 to 4 minutes. Add the shallots and garlic and cook for 1 to 2 minutes more until the shallots are softened. Add the broth, Marsala, heavy cream, thyme, salt and pepper to the skillet and using a wooden spoon or a spatula, combine the mushrooms with the liquid.  Bring the liquid to a boil, then reduce the heat to medium and gently simmer the mushroom mixture until the sauce is reduced by about half and slightly thickened, Approximately 8-10 minutes.  Sprinkle with parsley, if using.

Back to the Polenta, shut the heat off and stir in the butter and Parmesan cheese.  Return the lid to the pot and let the polenta rest for 5 minutes.  Serve topped with extra parmesan and the Marsala mushrooms.