Note that marking is not the same as selecting entries. Marked entries behave differently from other entries in two ways. First, they are always displayed with a yellow background in the entry table. Second, they will float to the top of your entry list, as long as your table is not sorted according to groups or a Float search.
Saving your database will preserve the markings.
Marking entries can be useful for instance if you need to do several searches without losing your first search results, or if you need to remember which articles or books to look more closely at.