Clean livers of excess fat and blood vessels. Rinse under cold water, pat dry with a paper towel, and set aside.
Place butter in a large saute pan set over medium heat. Add shallot and bay leaves, and cook until shallot is translucent. Increase heat to high; add livers and capers, and cook until liver centers are pink, 3 to 4 minutes. Using a slotted spoon, transfer livers to a plate.
Reserving liquid in pan, add marsala wine. Using a wooden spoon, scrape up any brown bits. Cook until liquid is reduced by half, about 3 minutes.
Remove bay leaves; transfer pan to a heat-proof surface to cool, about 1 hour. Place livers and liquid in a food processor; puree until smooth. Transfer to a covered container; chill. When ready to serve, brush bread slices with olive oil, and toast. Garnish spread with additional capers and anchovy fillets; serve toasted crostini on the side.