In a large bowl, beat the mascarpone cheese, powdered sugar, and vanilla extract with a hand mixer or stand mixer with fitted paddle attachment until smooth and creamy.
Add heavy cream and beat until soft peaks form. Refrigerate until ready to use.
Heat grill pan (or gas grill) to medium heat. Lightly butter each side of pound cake slices.
Place each slice onto grill and cook for about 2-3 minutes per side, or until grill marks form.
Remove from pan. Repeat with rest of pound cake slices.