Did any of the marketing of the movie indicate that the movie would be in color?
Yes, it was widely promoted as being in Technicolor, examples:
Also, reviews from the era indicate that if anything, the use of color (and how it was introduced in the movie) was expected, but also deliberately over the top compared to films of the era e.g. The New Yorker's review:
The vulgarity of which I was conscious all through the film is difficult to analyze. Part of it was the raw, eye-straining Technicolor, applied with a complete lack of restraint.
Or the New York Times:
A fairybook tale has been told in the fairybook style, with witches, goblins, pixies and other wondrous things drawn in the brightest colors and set cavorting to a merry little score. It is all so well-intentioned, so genial and so gay that any reviewer who would look down his nose at the fun-making should be spanked and sent off, supperless, to bed.
Or Variety's review:
Except for opening and closing stretches of prolog and epilog, which are visioned in a rich sepia, the greater portion of the film is in Technicolor. Some of the scenic passages are so beautiful in design and composition as to stir audiences by their sheer unfoldment.
What is interesting is that the transition scene was actually filmed in color with sepia-colored objects and sepia-made-up Judy Garland stand-in: https://birthmoviesdeath.com/2013/09/16/true-movie-magic-how-the-wizard-of-oz-went-from-black-white-to-color.
