Grace deduced it from her dreams with the emissary of magic, considering she would get "deja-vu" when she glanced at Justin's, Rhoda's, and Dex's backs and chest, that her dreams conditioned her to know there was something special about them in particular, and knowing that Dex had a mark where she was getting that "deja-vu" sense made everything click that Justin and Rhoda must have marks too, and she must have been told that Catalina was marked as well. My guess as to why Grace didn't have any "deja-vu" with seeing Luke either means he wasn't one of the marks we saw, or the emissary only focused on people that Grace knew personally (Justin and Rhoda) indirectly (Catalina through Rhoda and possibly Tedd and Sarah have mentioned her) and someone known and confirmed marked (Dex).
The fact that they couldn't explain how the boar got big other than by Rhoda causing it to happen herself, got them thinking that Grace was on the right track thinking that Rhoda at the very least was marked, and then Box told Sarah about the emissary of magic when she went to ask for her help in removing the energy clog. Then when Sarah told Tedd and Grace what Box told her, she obviously mentioned the emissary part cus Grace used that point to back up the idea that Box wasn't lying to Sarah, and it pretty much confirmed that Grace's dreams were an attempt to warn her about magic changing and also confirm that Justin, Rhoda and Catalina had in fact been marked.