I've figured it out for the installation : ALSA is the sound component so in order to install I needed to shutdown emulstation.
So I've killed everything and started retropie setup via ssh, which worked.
(sudo /home/pi/RetroPie-Setup/retropie_setup.sh)
However, I have some glitched visuals on my Tronkyfran Theme game selection menu, but not on Carbon game selection menu.
I've also figured how to add them into favorites by editing their metadata, now I'm looking for how to show or create the menu item where it should be regrouped.