This is an excellent question, but my answer will not make much sense unless you understand my theory about how the worlds work. If you're not interested, read no further. It is all in spoilers, because it includes some very important plot info, but if you beat the game you should be ok.
(SPOILER)Ok, we see the world change, and we see some of the people change into the characters in Ivalice. Yet Mewt, Cid, Doned, Ritz, and Marche don't change. What is so special about them? I'll give my answer in a second. Also, we know that desire is the thread that holds the world together. As long as the world is wanted, it will be there. But some people changed, while others remained the same. And many of the characters (Ezel, Babus, Montblanc, etc...) seem to have no relation to any real world characters at all. After considering this for a couple dozen hours, I drew up a theory that explains things (of course, if my theory is correct, then Marche turns out to be a mass murderer, but we'll get to that later). Ivalice is based on St. Ivalice, and some of its inhabitants are based on real people from St. Ivalice. But there are many more people in Ivalice (and the surrounding countries) than could possibly exist in a small country town. I think that the world of Ivalice is actually seperate from the world of St. Ivalice. Mewt, Cid, Doned, Ritz, and Marche were the only ones who actually crossed over into the new world when it was created. Some of the beings in Ivalice were based on real people (the three bullies show up as undead, for example), but they are actually seperate entities. And the rest of the world's population was created by the book when the world was. Now then, as to the five anomalies... Mewt, as the creator of the world, would obviously be transferred in. But the other four? Thinking about Llednar Twem (Mewt Randell backwards), Mewt's powerful alter ego, and the way each of the characters react, I decided that each of the four other characters was pulled into the world to represent a part of Mewt's personality, the part of his personality that he sees them as. When they enter Ivalice, they each change, to become the way Mewt sees them. Ritz's hair, Doned's illness, and Cid's motivation. I can't define how Marche changed (or even if he changed. He might have been the way Mewt envisioned him all along) right now, but my point stands. Now then, the roles. Cid was the Judgemaster. Impartial, not following emotions or feelings. The voice of reason, he listens to the facts, and bases his decisions off of them. Doned was the Child. He represented the part of Mewt that just wanted to play and have fun. Ritz was the Protector. She saves Mewt from the bullies and then tries to protect Mewt's world from Marche. And finally, Marche. He is the Paladin. A defender of what is right. He continues to fight on to leave because he believes that leaving is the right thing to do (he's wrong, but I'll get to that in a second). The characters battle out the internal conflict that Mewt is feeling ever since he first creates Ivalice. He thinks that it's right to return, but he doesn't want to. The interactions between the various characters throughout the game is how Mewt's feelings move as the game progresses. As Marche becomes more powerful, Mewt's sense that returning to the real world is right also becomes more powerful. When Marche (Mewt's feelings about what is right) win over the others, the internal conflict is resolved and Mewt leaves. That is fine, and is how it should be. Staying in that world would have been very detremental to Mewt's mental health in the long run. But Mewt should have been the only one to leave. If the world exists as long as its creator wants it, and the other four were representing aspects of that creator, then the world would continue to exist as long as Mewt was there, or as long as Cid, Doned, Ritz, and Marche were there. Those four were much better off in Ivalice than Mewt, since it was not based around their fantasies, even if many of their dreams did come true. Going back to the real world would probably be better for them as well, but at what price? If every person in Ivalice is a seperate entity from the people of St. Ivalice, then by doing the "right thing" and returning home, Marche actually destroyed the entire population of a world, including Montblanc, Babus, Ezel, your clan, etc... Now for the spoiler in a spoiler. After you beat the game, the other four are still in Ivalice, but Mewt is gone (Cid and Ritz can join your clan, and "Clan Doned" is based in the Ambervale, suggesting that Doned is probably still there too). This supports my theory, if you think of it as an alternate ending. In the original ending, once all five people left, Ivalice (and everyone in it) vanished. But in the alternate ending, only Mewt left. The four others were enough to hold the world in place. This is why I think leaving Ivalice was an evil thing for Marche to do. He killed off so many people, his friends... I think that it is better to do the thing that is worse for you (staying in a dream world is not good for you, even if it's not as bad as staying in your own dream world, which is what Mewt was doing) rather than wipe out the entire population of a world to do what is right for yourself. Cid says it very well himself at one point. This is the conversation (from memory, so it won't be perfect [unless I'm even better than I think I am!]):
Cid: Is there no other way for you to get home?
Marche: I... I don't know.
Cid: Then you cannot be allowed to proceed. You cannot be allowed to destroy our world.
True, staying in Ivalice was not a healthy decision for Marche. But compared to the alternative? I think that it is better to do what is worse for yourself than to commit genocide.
Whew! Sorry for the length of that. Comments? Questions? (Praise?)
I'd be glad to hear from you!