Success! What made the difference was to use the -o option with marisa-build, e.g.,
marisa-build -owords src\index.txt
and not pipe the stdout to a file. Using the -o option means that the index file will be in exactly the right format as defined by marisa, and does not rely on Windows redirection of stdout.
Now, I am thinking of converting some public domain dictionaries to Kobo format!
Thanks a lot for your help!
I may write up some instructions for Windows users...