After having looked at the CLI code
https://github.com/Shopify/cli/blob/main/packages/app/src/cli/services/dev.ts#L294

I have updated my shopify.web.toml adding all the paths I need for the redirect as follows:

auth_callback_path = [
  "/auth/callback",
  "/auth/shopify/callback",
  "/api/auth/callback",
  "/api/offline/callback",
  "/api/online/callback"
]

It was added at the root level of the file, and it didn't wipe the Allowed redirection URL(s) on the Partners site app config.