Do you have to be in custody to have us marshal hold?

Yes, generally you WILL already be in custody on some other, possibly even un-related charge. If you are in custody, held on some charge, and the U.S. Marshall's Office is interested in you for whatever reason, they place a "hold" on you which means that whatever happens to you on the original charge for which you were arrested, you won't be released until the Marshall's Office is notified and comes for you.