There is no issue with ES modules.
Thanks to the create-ic-app of @Tbd I was able to compare a working sample app with mine and figured out each modules deployed on the Internet Computer needs to be explicitly preloaded.
Per default, StencilJS will “only” preload the critical path (see doc and repo).
Therefore, at least for test purpose, I created a postbuild script which add <link rel="modulepreload" href="/build/xxxx.js" /> entries for every chunks in the index.html and was able to load / run the application in the browser.