What did Marshall know that no one else did?

Marshall knew that someone watched the children every time they played the Egypt Game.
The children finally discovered Marshall's secret after April was almost kidnapped by Mr. Schmitt's stock boy. In the aftermath of the attack, the police questioned Marshall, and the little boy told them that the professor was not the one who tried to hurt April. In fact, the professor broke the window to his storeroom and shouted for help when the stock boy tried to grab April.
The professor was grateful for Marshall's testimony, and the inspector expressed his relief that the older man was there to call for help. The inspector disclosed that everyone originally suspected the professor of being the culprit. This is because the professor, when questioned, had not been able to offer a good alibi in his defense. 
So, although the other children were oblivious, Marshall had known all along that someone was watching the children every time they played the Egypt Game.