It is simple, really.
MousePick only works when there is an object at the pointed location, but no when there is no geometry at the designated vector. So, I built a room with walls and ceiling, put a little sphere (which works as my aiming point) and used an FSM with a MousePick and a Set Position actions. A previous event set the cursor to a reticle and voilĂ : it worked...
Now, this solution will not work in open spaces unless you can provide some bounding planes at the edges of your level and increase accordingly the ray distance.
From here, making a raycast to the aiming point is easy. Hope this serves anyone having similar issues.