Information about the role and function of a COVID Marshal and who must have one can be found here:
We note that COVID Marshals are mandatory for indoor gyms and personal training facilities used by members of the public aged 19 and over.*
As the rules for physical recreation apply to dance schools and studios, dance schools and studios will need a COVID Marshal for activities that involve adults.
*…in Regional Victoria, so we presume this will include Melbourne with the easing of restrictions.