Thanks for your help. I'm indeed highly suspicious that the problem comes from my side with IT blocking some ports for applications (it had happened in the past).
I can not opened the link because of the apikey, error is the following :
<error code="400" message="Bad Request. The value for variable api_key is not a 32 character alpha-numeric lower-case string. Read https://research.stlouisfed.org/docs/api/api_key.html
for more information."/>
But it's working when I replace by my api_key.
The Eviews code is "working" -> it doesn't generate errors but it creates a bunch of alphaseries with strange things (looks like plain text from the url embedded in alphaseries)
Do you know on which port EViews is fetching the FRED API ? Is it port 80 ?