Woodworker here, the reason you use a marking knife rather than a pencil is because it is more precise, in two ways:
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A pencil line has width to it. Even a very fine mechanical pencil line. A marking knife has a single bevel, so the cut it leaves looks like |/ The vertical surface is the mark.
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If you need to transfer the mark around the board, say for tenoning, you make the first mark, then you turn the board, put the knife in the end of the cut, butt the square against the knife, and then cut. With a pencil you might stair step a bit. Then, when it's time to cut, you can register a chisel against the mark, you can feel when you're in place because it clicks in.
Note I'm talking about chisels here, because you use a marking knife when using hand tool techniques. It doesn't help at all when using power tools like a track saw, so using a marking knife in a power tool workflow is a bit pretentious.
A marking knife does not need to be expensive, you can use an ordinary utility knife to get the job done, and a cheap single-bevel marking knife can be had for a few bucks. I bought mine from eBay for $9.62 American. Or you could buy this weeb shit for $2400.