Breaking into ID isn't a great idea with Magellan there. While I think that Marco would be able to hold his own against him, ID (a claustrophobic, underwater place) is the perfect place for Magellan's abilities (and the worst place for someone as destructive as Whitebeard, if he had gone there). I don't think that he (or anyone for that matter) would be able to come out alive from a battle against Magellan in ID, unless he had a helpful Shiryu in his pocket, and he also wouldn't be able to avoid him. On top of that, ID is located in the Calm Belt, so Marco would need to do it alone and find a way to bring Ace (and Jinbe, he was there too) back all the way up and out of the WG facilities. Ivankov also wouldn't help him, as he almost didn't help Luffy.
Intercepting the escort would be better, but I don't think that they knew about Ace's capture at the time. When they got the info, Ace was probably arriving in ID already. It was a tough situation, in the end they had to attack the HQ.
One thing that I always wondered is why Whitebeard didn't send Marco WITH Ace to go after Blackbeard. One of Ace's flashbacks has shown that WB was uneasy, but didn't send anyone to help Ace anyway.