@Franck Marteaux Ho Franck! Did the label you applied involve protection or not?
In labels without protection the label metadata is only encoded as an Office Document metadata (which you can see from within Office by going to File/Info/Properties). Only when you involve protection the labels are visible within Explorer.
We are working to integrate labeling with SPO so Office 365 DLP can act on labels whether the document is protected or not. We are also working to integrate labels in Explorer so the labels are visible as an Explorer column. We don't have ETA for this work to be complete, in the meantime unfortunately the results my not be consistent depending on whether the label applies protection or not.