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1. For filling, in a medium mixing bowl beat mascarpone cheese, whipping cream, powdered sugar, orange marmalade, and vanilla with an electric mixer just until stiff peaks form, scraping side of bowl occasionally. Cover and chill for up to 24 hours.
2. Preheat oven to 400 degrees F. Grease a large baking sheet; set aside. In a small saucepan combine water, butter, and salt. Bring to boiling. Add flour all at once, stirring vigorously. Cook and stir until mixture forms a ball. Remove from heat. Cool for 10 minutes. Add eggs, one at a time, beating with a wooden spoon after each addition until well combined.
3. Using a pastry bag fitted with a 1/2-inch open star tip, pipe onto prepared baking sheet, making a total of 24 puffs. Or drop dough by rounded teaspoons 2 inches apart onto the prepared baking sheet. (If you need to use two baking sheets, keep second sheet covered while baking first batch.) Bake for 25 minutes. Transfer puffs to wire racks and cool completely.
4. For sauce, just before serving, in a small saucepan gently heat and stir caramel sauce over medium heat just until warm. Remove from heat and stir in liqueur. Set aside.
5. To serve, cut tops from puffs; remove soft dough from inside. Spoon filling into bottom half of each puff; replace tops. Drizzle each puff with sauce and sprinkle with almonds.