I cook up Marsala dishes all the time. Karen (i.e., Karen's Corner) has stated that in cooking with wine that the alcohol may burn off but the carbs remain.

I use a program called DietPower that lists both cooking wine and sweet wine. I worked up my recipe for Chicken Marsala using each ingredient. The per serving carbs using cooking wine were 4.09g (1.15g dietary fiber), and the per serving carbs using dessert wine were 7.26 (1.15g dietary fiber). Even if there are are some carbs leftover, it's a small amount, I think... ...especially for such a yummy dish!