I also tried this in V10 and it works the same. Here are a couple of screen shots. First, make sure that your timeline events are selected. Note that they have all turned blue. Then configure your create marker window as shown. It is the exact same as I posted earlier.

Once you hit the apply button, the timeline will look like this.

It really sounds like all of you your timeline events are not being selected, just the first one. If you are still having problems, then upload a screen shot of your timeline and also your marker creation window.
wwaag