Hey FilipeTessaro,
I just entered a bug pertaining to this issue as the Cull Distance Volumes do not work within the Viewport, but will work as expected when Playing in Editor (Pressing Play).
I entered a bug to see if this is the expected behavior since the volumes calculate based on distance from the player camera, and since there is no active player in the world when working in just the viewport, no culling will occur. Nevertheless, the bug entered (UE-25079) is calling to question whether or not this is indeed the expected behavior, as I can see the benefits of being able to preview the Cull Distance Volume function within the editor without having to press play each time.
Edit: This seems to be directly related to the viewport camera because as soon as you add a camera actor at the set distance for an object to be culled out, it works as expected (even without having to press play).
Thanks for taking the time to report this issue, and let me know if you have further questions.
Cheers,