Does Jekyll converts all .markdown files to HTML in my _posts folder every time i'm starting the server or it convert only modified or newly added .md posts? If yes is it a possible to skip not modified .md files to convert?
Are you talking about when you're running it locally in development or during the build?
Take a look at the build command options, there's:
Incremental build
Enable the experimental incremental build feature. Incremental build only re-builds posts and pages that have changed, resulting in significant performance improvements for large sites, but may also break site generation in certain cases.