I just lost more time to realize that what really solved the problem was this post :
After some new try, if I follow the readme and use this command in internet identity folder :
II_ENV=development dfx deploy --no-wallet --argument '(null)'
It’s impossible to create a new anchor or login in internet Identity.
The solution was to use :
II_FETCH_ROOT_KEY=1 dfx deploy --no-wallet --argument '(null)'
@Severin , maybe it should be updated, I don’t know.