I don’t know if you are using spaces or tabs to separate the groups and so account for either using:
Search: (\t|\x20{3})(?=\u)
Replace: \1-
Replace all will insert the - at the front of every line in the groups. It will cause the text to shift to the right at times meaning the groups won’t be visually lined up.

If the desire is to only insert the - in the first lines of the groups then try:
Search: ^([0-9][0-9]:[0-9][0-9]:[0-9][0-9],[0-9]+ --> [0-9][0-9]:[0-9][0-9]:[0-9][0-9],[0-9]+\R.+?)(\t|\x20{3})(?=\u)
Replace: \1\2-
The first time you do a replace-all it will only fix the first group and so you will need to do replace-all a few times until the count of changes reaches zero.

With both of these the search is looking for a prefix or leader immediately followed by a letter. The prefix/leader can either be three spaces in a row or a tab. I decided on three spaces as you may have two spaces in a row within your text.

1. with Ctrl+mouse select 3 places
2. click “record macro” (3 cursors are blinking)
3. push “-” button
4. stop macro recording
5. with Ctrl+mouse select 3 other places
6. push “replay macro”
   you only get 1 “-”

First, I will say, with multi-select as complicated as you described, I am assuming you either have the Better MultiSelect Plugin, or you have Notepad++ v8.6 which natively has a drastically-improved multi-selection capability. Without one of those two, what you are describing is not likely possible.

Now, I got to click each and every place with a mouse.

I assume you mean Ctrl+Click, because a normal click would just move the cursor rather than add to a multi-select

I know that Alt+Shirt allows using the keyboard in order to move the multicursor down to the next line. Unfortunately, it only works with the place last selected.

Alt+Shift+Arrow actually extends a column selection down, it doesn’t just move the multi-cursor down.

In fact, the Alt puts it into column mode, and even with Notepad++ v8.6, I cannot make a multi-selection with successive Ctrl+Click and then extend it into multiple simultaneous column mode using Alt+Shift+Arrow. (I haven’t used Better MultiSelect enough to know whether it can handle that or not)

So if you really want to start with multi-select, and then extend into multiple columns, you should try the plugin, and if that doesn’t work, you might consider an alternative.

If, however, you can get away with doing a multi-select, then typing the - , then just moving the multi-select down a line and typing another -, that will work just fine: do the multi-select using Ctrl+Click, then type the - , then down-arrow (no Shift or Alt necessary), then you can type another - if needed on this second line.