Why would anyone want to have Marshes? In early game you'd want to expand and take their provinces. In midgame when you become a world power I'd rather have alliances.
When do Marshes come in? I understand if you play as Castille you'd want to make Marshes of North Africa because provinces are poor and conversion will take forever but what are the advantages?
They offer more soldiers than a regular vassal.
If annexing them would give you a border with, say, France, you might be tempted to make it into a March for added protection and to prevent them from desiring your provinces.