Hi Jeff and welcome to the craft,
Some dimensions in any woodworking project are more important than others. Does it really matter if a workbench top (for example) is an eighth of an inch longer or shorter, probably not. The same inaccuracy in a joint could be fatal to the feature. The first thing I consider is the level of precision I am attempting to achieve with the operation. If precision is secondary then I opt for a pencil for no reason other than that it is easier to see, especially with my aging eyes (and easier to see on video), but since pencil lines leave wider marks they are inherently less accurate. You are dependent on your visual judgement and skill to guide your tools. As the need for accuracy increases then the knife comes into play.
A good example would be when laying out dovetails. I normally do tails first (and the whole pins/tails argument is a subject for another place) and laying out the tail sides can easily be done with a pencil. Dovetail baselines are normally laid out with a marking/cutting gauge or a knife (for reasons below) and there can be some advantage to knifing in the ends. Because you then want to accurately transfer the cut tail dimensions onto the pin board, you then use the knife to provide higher accuracy. The desired accuracy is feature to feature and not really accuracy of measurement.
The other major advantage to knife work is that instead of simply marking, you are actually starting the cut. The fact that a knife cut exists allows you to feel where it is when following a line around the stock, when establishing a knife wall with a chisel, when establishing an edge/face for sawing accurately, and similar functions. You can use the knife cut to guide the tool instead of relying on visual orientation alone. Feel is much more accurate than vision.
Part of gaining experience in the craft is learning when accuracy becomes more important to the work and if you watch enough hand tool woodworking you will soon get a good feel (pun intended) for when to use each marking (and cutting) method.