Returning a lesson is what releases marks and feedback to students. Until you do, they see their work as submitted but not marked.
Moderate first
Open the classroom, go to Assignments, click the assignment and then the lesson. Work through the Students tab, or go question by question on Blocks.
On a long answer, the Marking breakdown shows every criterion and the phrase that earned it, so you can see why a mark was given before you accept it. Adjust anything you disagree with.
Then return
Tick the students you are ready to release and click Return submissions.
Their lesson switches to Returned and they can see their marks and feedback.
If the lesson's feedback type is On return, this is the moment students see anything at all.