Good post, Javier. This is esentially how I do it too.
Depending on what the student has submitted, sometimes just looking at it in "preview" mode is adequate. But sometimes I need to open the submittal in the actual application, which is a little slower.
Where I depart is that I "download the grading worksheet", open this in Excel, make my comments, then upload the Excel file. I find that Excel's "quick fill" capability makes it fast for me to provide the same comments to different students, when adequate. In the grading worksheet, I am able to quickly fill in initial grades (e.g., 20 max for those who submitted, 0 for those who did not) and then modify this grade as necessary after viewing the submittal.
This is really just a subtle difference than entering grades and comments in Moodle.
It appears that neither you or I find a need to "mark-up" right on the submittal.