slipt large file with markers ,have i always to merge them?

In order to save all the audio between two Markers it has to be converted to a Range which has a beginning and an end. This is what Merge Markers does. If you look at your second image you will see that your 2nd. marker has turned into an End marker.

So yes you do have to Merge markers in order to save out the audio between them. However to avoid the problem that you have found you must Merge all the Markers in one go so that all of them have a start and an end. make sure that you also place an extra Marker at the very end of the audio file so that the last selection has an ending point. The in the Markers list select all markers by clicking on the first and then hold Shift and click on the last. Then when you do Merge you should have all your selected Regions marked ready to save as separate audio files.