Thank you DjayDino for your help.
Yes I have tried in a build with no success.
After many tries, I have found that it work in an empty scene.
But, in my main scene, "set cursor mode" ans set "cursor lock state" don't have any effects event if I try with the "locked to center" fonction.
The only action that is working, is "set mouse cursor", but unfortunatly it don't have an option to confine the cursor to the game window.
I imagine that in one way or another, I have a script or an asset that conflicts with the management of the cursor. I tried to deactivate each game object one by one, with no results.
So, I'm really lost and don't know how to do it.
My project is finished and has already been submitted to steam. I only have this little problem ...
Any idea is welcome.