There are several reasons this happens. 1) If the zabaglione was not cooked properly and until thickened, this can result in a runny tiramisu. 2) Adding the zabaglione to the mascarpone/whipped cream while it is too hot can melt the mixture and make the tiramisu runny. 3) Using low-fat or low-quality mascarpone or over-beating the mascarpone can cause runny tiramisu. Mascarpone is annoyingly temperamental and extremely liable to being over-whipped and separating, so handle with care! 4) When dipping your ladyfingers it's important to dip them very, very briefly. You want them moistened by the coffee but not overly saturated with it. If the savoiardi become soggy, that liquid can leech into the rest of the tiramisu recipe and make it loose and runny (not to mention, when you bite into the tiramisu you'll get a jarring punch of coffee and rum where you should have a smooth symphony of contrasting, flavorful accents instead).