Ok I made some research yesterday night…
I found the solution!
I made a DxDiag and see that the .exe was searching for Exemple_map which does not exist anymore.
I started from FPS Template, modified the map and saved it as XXXX.umap (And deleted ExempleMap)
In the editor → Project settings → Maps and Modes : I had to set my new map as the Game Default Map & Editor StartUp Map (For the next time I launch UE).
This solved my problem! I can launch my .exe package with no problem!
I hope this will help someone…
Many thanks
JC