I was told that I can polish marble after the 400 grit and do not need to use diamonds higher than 400. Is this possible?

Yes it is very possible. Many experienced craftsman can powder polish marble immediately after the 400 grit. It takes a little practice but can save you a ton of money on abrasives. One word of warning, this method will not work on all marble. This shortcut works best on the following materials: Negro Marquina, Crema Marfil, White Carrara, Botticino, travertine, Rojo Alicanti, Statuario, terrazzo and most agglomerates to name a few.
Tip: This method works best with a resin bond diamond. Metal bond diamonds may be too aggressive.