Heat the oven: Set the oven to 400°F (200°C). Butter a large rimmed baking sheet or line it with parchment paper.
Score the pastry: Unfold the pastry sheet on a lightly floured surface and cut it into 4 equal rectangles. With a sharp knife, score a line about 1/2 inch in from the edge of each rectangle — this scored border is the moat that traps the rhubarb juices. Prick the inside of the scored area all over with a fork so the base stays flat, then lift the rectangles onto the prepared tray.
Grate the marzipan: Working straight from the freezer, finely grate the frozen marzipan over the inside of each rectangle, spreading the shards evenly right up to the scored lines. Frozen marzipan grates into clean, dry shards that melt into an even almond layer in the oven.
Lay the rhubarb: Cut the rhubarb stalks into lengths that fit inside the scored borders and lay them in neat, snug rows over the marzipan. Do not peel the rhubarb — the skin holds the pink color and much of the tart flavor.
Glaze and bake: Brush the scored borders with the beaten egg (use just the yolk for a deeper, more golden glaze) and sprinkle the brown sugar evenly over the rhubarb and pastry. Bake for about 15 minutes, until the rhubarb is tender and the pastry is puffed and deep golden.
Toast the almonds: While the tarts bake, toast the sliced almonds in a small dry skillet over medium heat for 3 to 4 minutes, shaking the pan often, until fragrant and lightly browned. Sprinkle with a pinch of sea salt and tip onto a plate.
Whip the mascarpone: Beat the mascarpone with the powdered sugar and half of the orange zest until smooth and lightly billowy — just a minute or two, and stop before it goes grainy.
Serve: Transfer the hot tarts to plates, scatter with the toasted almonds and the remaining orange zest, and add a generous dollop of orange mascarpone alongside each tart. Serve right away while the pastry is still crisp.