It seems a compatibility issue/bug I tried to search on Google and found that you will need to use the old version of Armory wallet and Bitcoin core and sync both of them.
Much better read the whole post from here
https://www.reddit.com/r/Bitcoin/comments/2zq9s6/need_help_with_armory/ then continue to read until you found the suggested solution under that thread.
Thank you for your answer.
I use the new version of Armory wallet. I didn't touch anything, probably there is some little bug.
When I restart the wallet, it's all ok. The 3 addresses are marked as "used".
But if I press
Receive Bitcoins -> Select Wallet -> Copy to clipboard -> Done
and I come back to Wallet Properties, then the 3 addresses are marked now again as "unused".
EDIT:
I'm using 2 wallets, the old wallet and the new one.
With the old wallet (restored from a paper backup, with all private keys and encrypted ) it's all ok, and I can't reproduce the bug.
But with the new wallet there is this issue.