A marker armor stand will not be saved within a structure block if its position lies exactly on any of the boundaries of the structure being saved.

To reproduce, place a save-mode structure block that includes entities and saves the block above it, then place an armor stand on top of the block. Give the armor stand the marker and nogravity tags, then save the structure. Kill the armor stand, then load the structure. No armor stand will be loaded, because none was saved.

If you tp the armor stand up by any distance before saving, so it's not exactly on the boundary of the block, it will be saved properly.

The same thing happens with marker armor stands on any of the X/Z boundaries of the structure being saved–if you're saving a cube of eight one-block structures next to each other, a marker armor stand exactly on any of the edges between blocks will not be saved in any of the structures.