Whisk egg yolks, sugar, and dessert wine in a large heatproof bowl until fluffy.
Whisk mixture over simmering water until thickened and it reaches 78-80°C.
Place bowl in iced water and whisk until the mixture is cool.
Whisk in the cayenne pepper and lemon juice then let cool completely.
Fold one-third of the whipped cream into the sabayon then fold in the rest.
Carefully fold the coffee essence into the mixture until combined.
Spoon into a loaf tin, level the top, and freeze for at least 12 hours.
Dip the tin in hot water and loosen with a knife to turn out onto a plate.
Slice the parfait and serve with toppings like nuts and cocoa powder.