Please take a look at the docs for how to create stories for e2e training: https://rasa.com/docs/rasa/training-data-format#end-to-end-training
You can mark entities in user text in the same way, you mark entities in the NLU data
version: "2.0"
stories:
- story: end to end happy path
steps:
- user: “hi”
- bot: “hi!”
- user: “I’m looking for a restaurant”
- bot: “how about [Chinese](cuisine) food?”
- user: “sure”
- bot: “here’s what I found ...”