Weapon unlocks, some vanity items, weapon upgrades, the auction house, cosmetic changes, and some undisclosed elements all require Marks of Favour. Aurum, meanwhile, is used for unlocking inventory slots, character slots, progression boosts, bank space, other vanity items, and so forth. Allowing you to exchange between the two means you can always get more Aurum without necessarily spending money, although only time (and player purchases) will tell how generous the exchange rate is.
Source: Official Site