So after several hours of investigation,
For those who use VS2017. Microsoft gently hide the latests Windows 10 SDKs. And from UE 4.23, the engine ask the W10 SDK 18362 which is available on the installer only for VS2019. So you have to install it manually.
First remove all your previous W10 SDKs and downbload the latest one here :
And it should do the trick.
Best regards everyone.
Alex