Yah, it's the icon that looks like a square with one triangular half of it black and the other white -- right next to the search bar.
You can set the mark only on books that you've got open on the PC side, but they don't sync to the Reader unless you xfr the file to the Reader yourself. If you already have a copy of the file on the Reader, well I'd remove it first, just to be sure.
I've been deleting the PC copy, xfring the Reader copy to the PC, setting whatever marks I wanted, then deleting the file of the Reader and xfring it back. Like I said, it's a lot more trouble than it oughta be, but it does work.