Luminous beings are we
Not this crude matter
I think it's so special that Marco is the very first force ghost we've seen in the story. And not only is he the only one to appear on his own, but he's also the only ghost to appear thrice, including two appearences to the same character while that character was still alive.
When Erwin saw his former comrades, he saw himself atop that pile of corpses, symbolizing his own vanity. As for Hange, they all stood right behind them, just as Hange supported the cause they all fought and died for while never giving up on the values that defined a true Scout. And then they both met their demises in similar yet different ways: Erwin took with him enough young Scouts to build another pile of corpses, while Hange went down alone putting everything they had into making sure their allies will have a future and the chance to set things right.
But Marco appeard when Jean needed him the most, during what were the two most important decisions in his life: go forward with the Scouts, or step further away from the truth by falling in line with the MP; save the world, or turn your back and let millions die. Befitting his name, Marco "the bringer of war", those choices put Jean through hardships that no one should have to face, but he wasn't an angelic herald of death. Marco was, above all, a bringer of clarity. It was thanks to this clarity that Jean always made the right decisions and remained whole through and through. It was thanks to Marco that Jean had always been able to free himself from the same shackles that binded Eren and Reiner.
Marco's absence from the smoke could be interpreted in many ways, but I like the idea that he didn't show up because Jean had already accomplished everything that he was meant to accomplish. He no longer needed the support. But that doesn't mean Marco just vanished altogether. Their relationship is more complex than that. Marco's words "I'm alive because of you" are the key element. Jean could never forget him. Marco would live on in Jean's heart.
