You had to figure I'd have an opinion. :D
Actually, I have several, but I'll try not to be too confusing.
If it's at all possible, you're better off adding the marrow at the end. Essentially, you're using it instead of, and as you would use butter. I.e., to finish the sauce for gloss and texture and mouth feel. Even more than butter, marrow puts a protein + fat gloss on the diner's lips. It's this gloss that's responsible for that prized, "smack-your-lips" feeling you get with collagen rich foods.
The question is, should you cook the marrow before adding it, or add it raw. If cooked, how?
There are two ways to cook marrow. One is have your butcher split the bones, for you. You then remove the marrow with the handle of a tea spoon, chop it into short pieces, and poach it, 'til light grey, in stock. The advantages to this method are the resulting enriched stock, which may be added to thin and enrich the bordelaise sauce itself -- if, for instance, your method is a pan reduction; and, the ease and speed with which cooked marrow incorporates. The marrow and stock can be held separately in the refrigerator for a day or two before incorporating into the bordelaise.
The second is too have your butcher cut the bones into lengths short enough, so you can poke the marrow out after the bones are roasted, or have him split the bones lengthwise. Roast the bones in a slow oven, until lightly browned -- at which time the marrow will be cooked. Let the bones cool, and poke or scrape the marrow out. The marrow can be held for a day or two. Reserve the bones for making stock. Advantages: Roasted marrow tastes a tiny bit better, and cooked marrow incorporates better.
Raw marrow requires less pre-prep, but takes awhile to dissolve completely. If well chopped (think brunoise), we're talking a little extra whisking and five extra minutes. Raw marrow can be removed from the bones, chopped, and brought frozen to the catering kitchen.
There are a lot of sauces known as bordelaise -- if working from a demi-glace (as I would), I'd choose between the poached and raw. In a sauce that goes through as many reduction stages as a bordelaise, you won't get much benefit out of the roast. The poached, will give marrow broth to control consistency -- helpful, as sauces which have been frozen and rewarmed tend to thicken anyway, and if you're not too familiar with marrow which will add some structure on its own, it's nice to have a fall-back. The raw is showier, ballsier, and perhaps a better choice if the client is in the kitchen.
Hope this helps,