The BlueMSX doesn't have any control mapping for keyboard, only for joypads. It expects a keyboard for keyboard input. The FMSX core has some extra options when mapping the controls and setting the Device Type to Emulated Keyboard, but it still doesn't cover the full keyboard (only a few F keys, Esc, Space, the direction arrows and Space).

It works !!!!!! but only when i launch ES in a terminal :-(

This is exactly what I said in my first reply. This is how it's configured the RetroPie launcher - as outlined in the docs.

Last question : does ES and Retropie need sudoers ?
If not, i should modify authorization in /opt/retropie/configs : actually all files are for root:root and not for my user "pi"
As runcommand try to write in the .cfg file, it couln't !!!

The /opt/retropie/configs shouldn't be owned by root - there's something that you maybe changed, because the RetroPie-Setup scripts ensure the folder is owned and writable by the installation users.

The sudo rights for the install user is needed for installing additional packages and for adding the necessary configurations needed for RetroPie. This is one of the first steps outlined in the installation docs.

The gui isn't letting me map keys to buttons - I can map controller buttons to key strokes but I think the 5200 emulator is looking for input from a keypad and not a keyboard - I'm really new to this, so I'm probably missing something simple.