Thanks .
We managed to build the stub.
I add a note: the stub is re-generated when you open the editor and when you build C++ code so you have to open the editor first, let it generate the stub, launch the commandlet and save the complete generated stub to prevent it being overwritten and lose the auto-complete in your editor.
I managed to launch the commandlet with this command in an external terminal with the Unreal editor opened:
C:\Program Files\Epic Games\UE_4.21\Engine\Binaries\Win64\UE4Editor-Cmd.exe path_to_/YourProject.uproject -run=PythonOnlineDocs -IncludeEngine -IncludeProject