The truth is: If you have a Non-O visa based on marriage, you should legally be able to work in Thailand, as long as your employer obtains a work permit for you. There is no need to leave the country to obtain a business visa, as your marriage visa grants you the right to reside and work in Thailand, as long as you follow the work permit procedures.
The employer is probably not fully informed about the flexibility of the marriage visa and is used to handling business visas (Non-B), which are more common in the work field. It's important to explain to them that with the Non-O marriage visa, there is no need to switch to a business visa.