I ran the mail protection wizard again with manual settings, checked all the accounts and rebooted Windows with no success.
I think I found the (very) strange thing :
-I run the mail protection wizard and check all the accounts (4 accounts+1 which is called GGF that I don't know).
-I launch OE from the Wanadoo "toolbox" ("espace Wanadoo" in french) with for example the first account.
-I run the MPW again and the account I launched is by default unchecked.