Was George Orwell an Optimist?
Horace Parlan - Happy Frame of Mind
Also isn't there an advantage to placing all of the markers on the character that is in range and yields the most damage to reduce the other team to a smaller number of figures?
There are disadvantages too - your opponent knows who they need to hit this turn, while you don't know which direction the attacks will come from. If he knocks the figure with all the order markers out early in the turn, he can turn his attacks elsewhere while you watch helplessly.
The game works extremely well as is. Many people new to HeroScape come up with ideas for changing this and that, and then after gaining experience learn that the rules as written are the way to go.
Marvel is kind of the odd duck in the HeroScape family; if you're going to play it exclusively I think you'll miss some of the best the system has to offer. If possible, pick up some additional units, particularly squads to add variety.