Hi,
At the end of my mangle rules, I have the following for mark all unmarked/unknow traffic:
add action=mark-packet chain=prerouting disabled=no new-packet-mark=download_tcp_unknow_packet_mark passthrough=no protocol=tcp
add action=mark-packet chain=prerouting disabled=no new-packet-mark=download_udp_unknow_packet_mark passthrough=no protocol=udp
add action=mark-packet chain=prerouting disabled=no new-packet-mark=download_other_unknow_packet_mark passthrough=no

And properly mark all traffic that was not previously marked (for example 9.0Mbps)
The problem is that 90% of this marked traffic as download_tcp_unknow_packet_mark arrive to QueueTree branch as "no-mark", and use "download_tcp_unknow_packet_mark" don't works and I must use "no-mark"

Why??
Only marks firsts packets of connection?
Am I required to mark a connection first and then the package?

Yes, mark connection first and the mark packets based on connection mark.