@Pedro-Tainha You said you wanted 3D which is raster scanning (line by line) with the Z moving up/down based on the grey scale value (this is typically used with a 3D bas relief image for best results).
If you want to follow a path (2.5D) then you'll need a vector, either a DXF or trace a simple image (like clip art).
When you select CNC mode from the settings menu you will get either 2.5D or 3D depending on the sub menu settings, the default is 3D for an image and 2.5D for vector.
I have a quick guide on my website under the support section which explains some of CNC modes.
The spindle turning on when the software exits is not normal, if you unplug the USB cable does it do it? If so it's a problem with the board, the MOSFET is ON when the Nano input is floating, you'll need to add a pull down resistor to prevent this.