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OK. I've found something and I'm so close to my final result.
Here is my new mwe:

\documentclass[a4paper]{book}
\usepackage{enumitem}

\usepackage[standard]{ntheorem}
\theoremstyle{margin}
\theorembodyfont{\normalfont}
\newtheorem{exercise}{}[chapter]

\begin{document}

\setcounter{exercise}{8 ...

Happy new year, everybody!

The picture above says it all:
Screen Shot 2018-01-06 at 11.24.18.png

The code for the "I have this", is:
\documentclass[a4paper]{book}
\usepackage{enumitem}
\newtheorem{exercise}{}[chapter]

\begin{document}

\setcounter{exercise}{8}
\begin{exercise}
Lorem ipsum ...

Well, my book is already separated into 15 files and I use another file (I call it "book.tex") with the preamble and \include command to combine them.
All 15 files have about 9000 lines of code, so it's not so easy for me to narrow it!

BUT I found this:
I put the preamble to each one of the 15 ...

Hi,
my book is full of greek text combined with english text.
I have this code on my preamble:
\usepackage[Greek,Latin]{ucharclasses}

% Language declaration
\usepackage{xltxtra}

\usepackage{polyglossia}
\setmainlanguage{greek}
\setotherlanguages{english}

\setTransitionsForGreek{\selectlanguage ...

Hi,
my .tex file is pretty big at this time and when I compile it, it says:
! TeX capacity exceeded, sorry [save size=80000].
<recently read> \__int_eval_end:
l.51771 \select@language {greek}
...
57i,0n,83p,10496b,80001s stack positions out of 15000i,500n,10000p,200000b,80000s

I tried this and ...

Cool. I'll play with it and post if I find a solution.
Thank you.

I'm fine with the solution you provided, Stefan and thank you again.
I just want to add this:
I was trying to manage making the cline be seen with transparent colors, but I couldn't make it. I thought that if the background of the red cells was transparent, maybe the cline would be visible.
Is it ...

Thank you for your reply, Stefan.
Well, I forgot to mention that I'd like the arrow to be shorter, not longer.

I still can't believe that I had to MOVE the line just to make it be seen.
Come on, LaTeX does billion of things, it cannot make a line to be seen over a colorful cell?
Thank you very much for the solution, Stefan.

Hi,
I have made this table:
Screen Shot 2017-11-04 at 18.10.10.png
with this code:
\documentclass[11pt,a4paper]{book}

\usepackage[table]{xcolor}

\begin{document}

\begin{table}
\centering\arrayrulecolor{black}
\begin{tabular}{l|ccccc|}
\cline{2-6}
\rowcolor{red}\multicolumn{1}{c|}{\cellcolor ...