The 21-year-old was unable to join Paolo Di Canio's side due to their transfer embargo but he had already agreed personal terms.
But he has put the disappointment behind him and was handed a first start on Tuesday night since the failed move, which he marked by scoring the opening goal in a 2-1 win over Southend.
The midfielder, whose contract expires in the summer, told BBC Gloucestershire: "If I stay here then so be it, I'm more than happy to. I've not once said I want to leave.
"Obviously I want to progress, there would be questions asked of me if I wasn't ambitious.
"But it would be great to get Cheltenham promotion. I'll just have to play it day-by-day from now."
Yates praised the midfielder's professionalism following the incident.
"His attitude has been excellent," added the manager.
"It must have been tough for a 21-year-old kid to have a move and then for it not to go through. But he's been spot on in training and in the way he wants to play for us.
"I want Marlon to be a part of this between now and the end of the season."