I am using RouterOS 4.x. Currently, i do mangle most of the connection at forward chain. Undefined connection will be captured by no-mark by default. But i still see some connection have wild connection without marking as below attachment file. Why?

It is also possible to select no-mark at queue-tree. if i shape the packet with no-mark, will it work?

All of the connections are unreplied (U). Since unreplied means connection was not established - connection mark will not apply. Not to worry however, all those connections are not passing any traffic. And if they do, (somehow conntrack missed it) you should be able to stop them with a filter to drop packets of invalid connections.

also, those connections in the middle are directed to broadcast addresses, so you should mark (drop?) them in 'input' chain