Should Utena be marathoned, or should it be watched with breaks so that I have time to think about it?
Just watch it over the course of two weeks.
Watch it twice.
Utena is a shitty high school soap opera with pretentious, obnoxious symbolism on top of it.
Don't watch it.
The recaps at the end of the arcs give you a breather and sum up what just happened to let you stew on them. Marathoning it isn't impossible, and I think you'll be able grasp most of what you'll need.
I marathoned it until black rose saga, stopped then marathoned it again. Then watched the movie 2 weeks later.