You can separate orders placed on sale channels from Magento orders using the order importing settings for accounts. It is possible to specify the store view where orders imported from the channel will be placed.
So, for example, you may create a Store View “eBay” or "Amazon" in your Magento, then use it for order creation via M2E Pro. See our documentation for more details:
M2E Pro for Magento v1.x:
M2E Pro for Magento v2.x: