Actually, if you are an admin, you can go into the admin area, edit your Salesforce settings, and you can check off "Sales Email Open" and other options for email activity (see screen shot). This will put the info in the Activity History of the lead/contact.
I think what you are asking for is that the Marketo Sales Insight tab's views be able to use Member of Campaign or Sales Email Sent as filters in the views that it can create of its My Email tab. Tech support is correct that this cannot be done. You can create a Lead Performance report for specific emails or campaigns that has custom columns that show Opens and Clicks. You can then add your users as subsribers to this report.