I made a mod for myself where I ticked certain NPCs "essential" so they would not meet accidental death. I have used the same method in Oblivion and FO3 and with those games it worked.

Still, now one of the NPCs I have ticked as essential (Madesi in Riften) went and got himself killed during a vampire raid.

What is the problem ? Anyone got any idea ?

This is the only unofficial mod I have got running. And, at least in the Wiki, I have not found any mention about Madesi being "essential until ..." in which case some script would change the flag at some point.

TG00 removes Madesi's essential flag. Also, this change may not take on existing saved games.

The best way is to use a new quest with a unique actor fill type flagged as essential.

So this is not a problem with my mod ? I just have to make him essential after certain point by console ?

No, but mass edits to base NPC records is not the most efficient way to handle this.

Then what is ? This has worked OK with the previous games. What is the more efficient way ?

Create a quest that's always running and fills the actor as an alias, then sets the essential flag on the alias. As long as your quest continues to run, then the actor will always be essential.

Sounds good advice, thanks.

The problem : never made a quest mod. Any hint for finding tutorials (badly needed for the purpose) ?

The Bethesda tutorials are good for that purpose.

Start here: http://www.creationkit.com/Bethesda_Tutorial_Planning_the_Quest
Note that this doesn't actually teach you much about aliases, just about the basics of a quest.

After completing that series, you'll then want to move on to here: http://www.creationkit.com/Bethesda_Tutorial_Quest_Aliases

There's a video to accompany them to on YouTube if you prefer a more visual method.