I don’t believe that the system will automatically create the marketing events list for you, but using the list tool you can create active lists from marketing event data.
Using the Lists tool, create a contact-based list. You can then start adding your filters. On the right you will see an option for Marketing Events.
Your filters will be specific to the Marketing Events you want to track. For example, you can say Attended Marketing Event and then add an additional filter to choose events that are in the system. You can filter these events similarly to other data in the system.