Marches do indeed refer to border regions and the lords who live in them are called marcher lords (or marquesses or margraves, etc. depending on the language).
Because Marcher Lords were expected to defend the frontiers of the realm against raids and full-scale invasions, they were given certian legal privileges. For example, Marcher Lords tended to be direct vassals of the king with no intermediary liege lords; they had the right to build castles, which otherwise required a license from the king; they had powers to wage war in their regions without seeking permission from the king; they had administrative and judicial autonomy (for example, they could grant charters that otherwise were the prerogative of kings), and had the exclusive right to “any and every feudal due, aid, grant, and relief" from their vassals instead of kicking those bennies up to the king, giving them the revenue needed to maintain their castles and armies.
In essence, you can think of marches as semi-militarized border zones where the central authority has ceded certain powers to the local authorities in a bid to get them to settle in and raise castles in very dangerous regions so that they can provide the central authority with a dedicated first line of defense.