Well, after A LOT of digging in the SE code I found the answer:
The short answer:
What you seek is the _LineMarkerAdd (it appears in the help so you can read about it)
The more complicated answer:
Probably if you want to do something like that you'll need some kind of database to save your points of interest and display them on the opened files (look at annotations.e for a complicated but relevant example)
When you want to do that you might wanna look at _build_buf_list for your opened files)
Good luck!
