documentclass{scrartcl}

usepackage{csquotes}
usepackage{polyglossia}
setmainlanguage[spelling=new]{german}

% example bib file

begin{filecontents}{test.bib}
  @mvreference{ml,
    title = {Müllers Lexikon},
  }

  @inreference{ml:thermoskanne,
    crossref = {ml},
    title = {Thermoskanne},
    volume = {2},
  }
end{filecontents}

usepackage[backend=biber,citestyle=authoryear-icomp]{biblatex}
addbibresource{test.bib}

% no quotes, italic font instead

DeclareFieldFormat*{citetitle}{emph{#1}}

% shot at a solution based on cfr's original answer

usepackage{xparse}

NewDocumentCommand{parencitetitle}
  { > { SplitArgument { 1 } { : } } m }
  { myparencitetitle #1 }

NewDocumentCommand{myparencitetitle}
  { m m }
  {
    boolfalse{citetracker}
    boolfalse{pagetracker}
    usebibmacro{prenote}
    parentext{mkbibemph{MakeUppercase{#1}}:citetitle{#1:#2}}
    usebibmacro{postnote}
  }

% some sample text, etc.

begin{document}

Some things need to be said, some things need to be written. One place to put them in is an encyclopedia.
This is what it should look like, just without the space: (cf. citetitle[emph{ML:}][]{ml:thermoskanne}, 234).
And this is what it looks like right now: parencitetitle[cf.][234]{ml:thermoskanne}.

printbibliography

end{document}