It seemed that the path to jlinkgdbserver.exe was not right. Jlink was installed in a folder named "jlink_V812" and not the default "jlink". I had changed the path in settings.json but it did not work (even adding .exe). Finally I created a "jlink" folder and moved all jlink files into it. First it did not worked but I then recreated totally the project (with the default settings to "jlink" folder and it now works. I still do not understand what was wrong.