Thank you for taking the time to advise me.
Meanwhile I was reading on some forum a thing with the “I” ( i ) command between M3 and power so I tried it.
Below is the same gcode as above, with that " I " after the M3.
I edited the gcode from Lightburn and added the I.
Works with M03/M05 in Lightburn and I got some smoke, finally 
The Gcode from Lightburn puts in some M9 commands that I deleted because in Lightburn it was saying unknown command.
; LightBurn 1.0.04
; Marlin device profile, current position
; Bounds: X0 Y0 to X20 Y20
G21
G91
; Cut @ 700 mm/min, 100% power
M5 P1
G0X0 Y0 F0
; Layer C00
M3 I P1 S255
G1 Y20 F700
G1X20
G1 Y-20
G1X-20
M5 I P1
; return to starting pos
G0 X0 Y0 F0
So if I have these commands mixed up, how should I be able to use the inline ? or what would be a good workflow to work as they are? Should I edit every gcode generated with Lightburn?
Thank you in advance.