These are spats, the wraparound covering over a shoe. Before this season, Mark wore them all the time, and often stole focus from his partners (not only via the spats). He probably loves them because he's such a Michael Jackson fan and MJ wore them.
I think Len just spoke the truth, because with Mark it has to be said over and over: stop finding more ways to jeopardize your partners, whether it's by giving himself flashy steps, or wearing spats, or by indulging his creative whims by over-choreographing a dance until it no longer resembles the assigned dance. I don't feeling like I'm overstating here, because Len calls him out for these things every season, and yet he never changes.
My own amateur analysis: I think Mark see what Derek does, and tries to one-up it. The thing is, Derek manages to get creative with dances without losing the original dance, and Derek never forgets to make his partner look like she's holding up her half of the dance. Mark seems to forget those two things and just gets lost in the creative part. He also has an addiction to adding breakdance moves and mime-like contortions for himself that do nothing but scream "Look at me!" If he didn't do it so much I wouldn't ride him so hard about it, but it's like he wears this stuff with pride or something. Which is bad for him, and really bad for his partners.