They have been married since March is the correct sentence. "They have married since March" does not use the proper tense. Depending on what you were trying to say you could even reply with "they married in march" or "they have been married since march"

"They have married since March" means that they wake up every day, she puts on a white dress, he puts on a suit, they invite over all their friends and family members, make them sit through a ceremony and then throw a big party. Then they go to bed and do it again the next day. Every day. Over and over and over again. I don't think that's what you mean. If they only did that once sometime in March, you would say "They have been married since March."