ok some news :
I used the parameter Cook Everything in the project content directory : TRUE
and now, my DCG01.uasset and DCG01.uexp are build in the packaged game. But I still have the error in the log.
So I suppose now that it was looking for a file named DCG01.DCG01 when not played in the editor. (because in the editor, the .uasset seems sufficient).
I do not understand where my mistake is…