I am not sure if I set exactly the model units. I am working in millimeters and when I run an analysis interactively I set millimeters, I save model and I click start new analysis: How can I know if this is the correct way? How can I know if the unit is really millimeters?

One way is to look at the top of the run file, you will see the geometrical range of the mesh. From this you can deduct the scale.

The other way is to look at the geom scale under File|write geometry file. There you will see what the geom scale was the last time you wrote the geom file.