I've imported the package onto MSDB and here what i'm having now in both cases :

Case 1 : Running the step with the proxy :

errors ==> Job outcome : The job failed. The Job was invoked by User ServerName\Administrateur. The last step to run was step 1 (Test_Proxy2). Test_Proxy2 : Unable to start execution of step 1 (reason: Could not get proxy data for proxy_id = 11). The step failed.

Case 2 : Using SQL Agent Service Account :

errors ==> Job Outcome : The job failed. The Job was invoked by User ServerName\Administrateur. The last step to run was step 1 (Test_Proxy2). Test_Proxy2 : Executed as user: DomaineName\Système. The package execution failed. The step failed.

| Test_Proxy2 is the name that I gave to the step. |

Thanks 🙂