Ok, the problem is completely different than I thought.
I create the level and show an UMG menu.
Everything is ok.
As soon as I click one of the UMG controls (even if I do nothing then), the GetFirstPlayerController seems to be not active anymore.
I click in the world, everything ok, I click the UMG button/canvas, the GetFirstPlayerController is not active.
I can play this game endlessly.
So, how do I put the control back to the PlayerController after clicking the UMG GUI?