I don’t know if this is the problem because I don’t have Wavelab 6 installed any more, but are you sure you’re not dragging the marker above the little divider bar just over the top of the marker head? That will always make the X appear and will delete the marker if you let go while you’re up there, because that’s what it’s supposed to do, an easy way to delete markers.
But I’ve done that myself unintentionally when trying to move a marker many times, in all versions of Wavelab.
Try dragging the marker down-only, then across, when moving it and see if that works.