I am using a 400 grit, 5 inch metal bond diamond on a marble vanity and it is leaving scratches in a circular pattern. The next grit will not remove them. Am I doing something wrong?

No, it doesn’t seem you are doing anything wrong. The possible problem is that the metal bond diamond has a rough edge. This is another common problem with some of the metal bond diamonds. When they cut the diamond at the factory, the edge is sometimes jagged and when used will place deep scratches in the marble. The best way to fix this problem is to run the diamond on the back of a rough marble to smooth the rough edges. Not all metal bond diamonds experience this problem, check with the diamond manufacturer and ask them if there diamonds have this problem. Another simply solution is to use resin bond diamonds instead of metal.