Marcellus is grateful to Winter for many reasons.
Thanks to her, he was able to realize what a douche he was. Whether it's related to work or not, he shouldn't play around with others' feelings like what he'd always do. He should not treat people like playthings nor should he think that he can get everything he wants all the time.
She made him realize that one's true value wasn't on the outside. She made him realize that there's more to life than working, partying, dating women and breaking hearts. She made him realize what it's like to truly care about someone.
