OK, I found this link on some vegan blog.http://www.angelfood.co.nz/confectionery.htm
This company is based in NZ, but you can buy a vegan marshmallow kit and make your own at home! She sells pre-made vegan marshmallows too.
This is what Angel Food lists as the ingredients:
Organic sugar, water, invert syrup, gelling agent (agar), modified starch, organic tapioca starch, emulsifiers (472b, 477), organic vanilla extract, sea salt.
I'm sort of interested to see if I can hack the vegan marshmallow recipe, so I did a quick search on those ingredients that I didn't recognize.
Invert syrup: Here's the wiki article on it: http://en.wikipedia.org/wiki/Inverted_sugar_syrup
I'm thinking why it's used is because it helps keep the marshmallows moist and doesn't crystalize.
I know some vegan marshmallows you dust them with starch after you cut them (so they don't stick), but I know that it's also used as a thickener (like in pies/puddings/sauces).
A quick search about those numbered emulsifiers, I came up with this:
472b is an ester of lactic acid (which probably comes from sugar beets, if this is truly vegan) and 477 is Propane-1, 2-diol esters of fatty acids, propylene glycol esters of fatty acids (I don't know anything about this)
It's not in this ingredient list, but I've also seen bean gums and stuff like that too in other marshmallows.
Anyway, it seems that all these homemade marshmallows are failing is because they don't have extra stabilizers/emulsifiers like commercial vegan marshmallows.