Don,
This is another thing that I wondered as well. The nylon on THHN/THWN doesn't seem to be affected as evidenced by the fact that enamel or felt marker will rub or flake right off leaving the conductor as if it's never been marked (usually transferred to the electrician's finger, the device, the wall, etc)
There are solvents in the felt-pen that smell pretty bad, and would soak right into a THW or the like.
Would this degrade the insulation?