The Monoprice Door/Window sensor with optional lead input may work, but I think it only has 2 connections. To distinguish closed from locked and closed I imagine it would either require a 3rd wire, or digital communication on the 2 wires.
Here is some of the more detailed info on the wiring in the Marvin Lock Status Windows. It indicates that:
The Lock Status Sensor detects an open or closed status. A “locked” status is inferred from the presence of the Auto-Lock feature, which activates the locking mechanism when the operating panel is closed.
My interpretation of this is that there is no secondary sensor that distinguishes closed from closed and locked, it is just that some of the windows will automatically lock when closed. Therefore, if the window is closed then it should be locked.
It’s disappointing that they didn’t offer some suggestions for known compatible products, but it seems like a Z-wave Plus door sensor with optional inputs, like the one I linked from Monoprice, should work. There are probably others that would work as well.