The *conn_mark rule supports only tcp and udp by default, if you want to add icmp, use command to specify the proto to use:
uci add_list firewall.wan_in_conn_mark.proto='tcp'
uci add_list firewall.wan_in_conn_mark.proto='udp'
uci add_list firewall.wan_in_conn_mark.proto='icmp'
uci add_list firewall.out_conn_mark_restore.proto='tcp'
uci add_list firewall.out_conn_mark_restore.proto='udp'
uci add_list firewall.out_conn_mark_restore.proto='icmp'
uci add_list firewall.lan_in_conn_mark_restore.proto='tcp'
uci add_list firewall.lan_in_conn_mark_restore.proto='udp'
uci add_list firewall.lan_in_conn_mark_restore.proto='icmp'
uci commit firewall
/etc/init.d/firewall reload