OK, I understand the procedure with the LOST command.
I have checked that the option "Force Data connection" is selected.
But when I send an SMS with the command "LOST" or from the Avast site, the request is not considered (Command Time Out) and the data connection is not activated.
By cons, if I do the same manipulation with the data connection enabled on my phone, the LOST command works correctly.
So, I noticed that if my phone is lost (or stolen) while the data connection is inactive, it is impossible to send commands ...
Is this normal?