It's funny google directed me to an unanswered question when I went looking for ways to keep my mascarpone from curdling.
That's what I think happened to you by the way. The same thing happened to my tiramisu cream last week. I probably shouldn't jump to conclusions since it was a different recipe, but I noticed when I was beating my mascarpone into my zabarengue (to use Chef John's parlance) it took on a somewhat broken appearance. It happened once before in a different dessert when I got impatient and decided I could fold my mascarpone into my barely warm berry syrup.
After much panicked googling, I discovered that mascarpone can actually be quite temperamental when combining it with ingredients that are different temperatures, but I also think the moisture content can encourage separation and curdling.
The tiramisu recipe I recently tried called for the yolks and whites to be beaten together with the sugar over a double-boiler for several minutes, allowed to cool, and then the mascarpone beaten into it. Either I didn't let my egg mixture cool completely (my guess), or the different fat content of the zabarengue disagreed with the mascarpone. It split at that stage, and after refrigerating, it had the exact same grainy texture you described.
EDIT:
After further googling, it seems like contrary to common law, it's better to use mascarpone cold. It's so high in butterfat, that it's very easy to overmix and essentially churn it. I recently made a bananamisu (tiramisu with bananas) and used the same previously curdled recipe, and by beating the cold tiramisu a little to soften it and then beating the zabarengue into the mascarpone a bit at a time, and folding the whipped cream in by hand, I can happily report no separation issues.
Best Answer
Powdered sugar is about 3% corn starch by weight. So the candies set due to a combination of three factors:
There is some minimal health risk from the raw egg, as it is possible it was infected with salmonella. The actual incidence, at least in the US, is very low, but you will have to assess your own risk tolerance.
Given that these confections are close to pure sugar, they should keep close to indefinitely, as long as they are not gotten wet--but they will be very hydrophyllic, and would absorb water even from humid air. So keep them in a sealed dry container.