standing) silently behind the very dirty window in the darkened room".  Marshall has "very sharp eyes" to notice this, and because even at four years old he can always be trusted to keep a secret, he keeps this information to himself until the end of the story (Chapter 5 - "The Evil God and the Secret Spy").

The Professor surreptitiously watches the children at their game frequently, and only Marshall is aware of his observation.  The little boy senses that the Professor is a benevolent figure, and probably senses also that the Professor does not want his presence to be known.  When April is accosted in the yard and is in need of rescue, Marshall turns to the window where he knows the Professor is watching, and silently appeals for help, which the Professor provides.  Later, when April is safe, Marshall explains that the man who "said 'help' to save her is "the man who watches us all the time...he was looking out his window, like always" (Chapter 21 - "The Hero").

Marshall knew that someone watched the children every time they played the Egypt Game.

The children finally discovered Marshall's secret after April was almost kidnapped by Mr. Schmitt's stock boy. In the aftermath of the attack, the police questioned Marshall, and the little boy told them that the professor was not the one who tried to hurt April. In fact, the professor broke the window to his storeroom and shouted for help when the stock boy tried to grab April.

The professor was grateful for Marshall's testimony, and the inspector expressed his relief that the older man was there to call for help. The inspector disclosed that everyone originally suspected the professor of being the culprit. This is because the professor, when questioned, had not been able to offer a good alibi in his defense. 

So, although the other children were oblivious, Marshall had known all along that someone was watching the children every time they played the Egypt Game.

The answer to this question can be found in chapter five which is titled "The Evil God and the Secret Spy." The chapter begins with April, Melanie, and Marshall heading back to the abandoned lot. Everything is exactly how it was before, so the girls are even more convinced that nobody ever goes there. They begin to clean the place up, and as they are clearing out trash and other debris, they notice the locked gate and the Professor's window. There is some initial worry about the Professor watching them, but they realize that the window is so dirty that he couldn't see through it anyway. The girls return to having a sense of security and sit down to make plans. As they are making plans, Marshall is occupying his own time. He is digging a hole in the middle of the yard with a sharp stick. Security is tightly wrapped around him, so he has both hands free to dig.

As for what the author might be foreshadowing by this very small piece of information, that is up to an individual reader's thoughts. If the reader is knowledgeable about the Chekhov's Gun concept, then the reader is likely to be suspicious that either the stick or the hole is going to be of future importance. If the reader feels that the hole is meaningless but the description of Security is important, then the reader might think that something is being foreshadowed about Marshall losing Security.