Marking air cells from the beginning lets you keep track of the growth so you know how to adjust humidity. Marking air cells at day 18 helps you know how to lay your eggs down so that when they pip you can see them. Generally, (and there's always a couple that didn't get the memo,) chicks pip in the vicinity of the lowest dip of the air cell. If you mark them you can face that side of the egg up and you will be able to see the pips as they happen. (If you are home to see them...lol)
You don't HAVE to, many don't. I'm in the group that does.