Cookies: Pulse almonds with 1/4 cup brown sugar in a food processor until finely ground. In a small bowl, whisk together flour, cinnamon, baking soda, and salt.
With a mixer on medium speed, beat butter with remaining 1 1/4 cups brown sugar until fluffy, about 4 minutes. Beat in egg and Marsala until combined. Reduce speed to low and add almond and flour mixtures, beating until just combined.
Divide dough in half and shape each half into a disk. Wrap in plastic and refrigerate until firm, at least 2 hours and up to overnight.
Preheat oven to 375 degrees. Let dough stand at room temperature until pliable. Roll out one dough disk on a lightly floured surface to just under 1/4 inch thick. Using a 3 1/2-inch cookie cutter, cut out as many stars as possible, rerolling scraps once. Arrange stars 2 inches apart on parchment-lined baking sheets.
Bake, rotating sheets once, until edges are golden, 9 to 11 minutes. Let cool on sheets 1 minute, then transfer cookies to a wire rack; let cool completely. Repeat with remaining disk of dough.
Icing: With mixer on medium speed, beat confectioners' sugar, 3 tablespoons water, vanilla, and orange zest until smooth. Spoon mixture into a pastry bag fitted with a small writing tip, or a resealable plastic bag with a corner snipped off. Decorate cookies with icing and sprinkle with pearlized sugar; let set about 30 minutes. Cookies can be stored in an airtight container, between sheets of parchment or waxed paper, up to 1 week.