Armor stands that have Marker:1b set will not be saved with structure blocks that encompass them, even with Include Entities turned on. I suspect this is because they have no hitbox, and so aren't being detected by the saving methods, though I can't be sure.

To reproduce:

1) Summon a marker armor stand: /summon ArmorStand ~ ~ ~

2) Place a structure block down, put it in Save Mode, give it a name, and make sure Include Entities is turned on and the parameters cover the block where the armor stand is. Click Save.

3) If you kill the armor stand and try to load the structure with the structure block, the armor stand won't be there. Furthermore, if you open the saved structure with NBTExplorer, you'll find the armor stand was never saved in the first place (it will show 0 entities).

Non-marker armor stands are saved normally, it's just the marker ones that this bug affects. And I found this out after losing about 475 marker armor stands in a structure I was saving, so...definitely a major bug that needs fixing.