Not quite - a creature knows what a power has done to it. It knows about imposed conditions such as the mark condition - it does not (by RAW) know about effects of the power which don't affect it.
So, it certainly does not automatically know that a swordmage aegis grants the defender extra abilities - those are effects on the defender, not the marked creature. It also certainly would not know about a fighter's combat challenge (barring in-game exceptions).
The paladin's mark isn't quite as clearcut. Certainly, the paladin's mark punishment affects it, and it knows about it if it is affected. However, a paladin's punishment doesn't necessarily kick in at all, so the argument could be made that it knows of the effect (the damage) once it is affected; i.e. at the moment it is damaged, and not before. However, a probably more reasonable interpretation is that the conditional damage is itself an effect applicable to it; the monster thus knows about it.
But in general, affected creatures don't know the effects of powers, they only know the effect the power has on them. Note that this is also a practical distinction; a player (including the DM) needs to know how to resolve an effect on his PC/creature, so making that information explicitly available to the PC/creature avoids a class of metagame headaches. By contrast other effects are just a distraction - sometimes a tactically interesting distraction, but usually not.
E.g. in the case of marks; it is fairly reasonable to assume there's some extra penalty, and the creature doesn't really need to know the details to want to avoid the risk, if possible.