When you initially import them, they do show up as "marker", this is nothing to be concerned about.
Here's why, I'll try to explain it, but all of this is sort of besides the point. MOD music files have 'late' type recognition, that is, they are custom lumps and XWE doesn't 'know' them right away. It does recognize some (IT, S3M, Apogee IMF and some MIDI variants) once you click on them. A few versions ago I added a feature to XWE so that when you click on an entry which has no type, and XWE does recognize the entry, the type will change (=late recognition). Here it won't work, because when you initially load them, XWE first internally creates an empty, untitled lump - which it recognises as MARKER type (because of the zero type). If you close your WAD and open it again, just click on the MOD, chances are, XWE will recognize it this time. (Or click change type from the popup and enter type zero - which is no type - and then click on the entry again.) This is a minor bug, it would be nicer if newly loaded entries would have no type (instead of marker) if XWE doesn't recognise them right away.
Like I said, this is besides the point though. It really doesn't matter if XWE recognises them or not. They are custom lumps, and XWE does nothing with them, they just stay in the WAD as they were imported. In this sense, XWE supports every single type of file (and not just music!), you can really import anything you want. What matters is whether the port you are using recognises them or not. If you use ZDooM, that port uses FMOD; you can go to fmod.org to find out what types are supported. But even if a type is supported, it needs to be either named properly (e.g. D_RUNNIN if you want to replace Doom2's first level music), or you need to use the MAPINFO lump and refer to whatever your music is called.