FYI, I tested on other computers. Older computer reacts correctly as it should be expected. Faster (more recent) computer behave exactly as I am experiencing. So this is not related to my own computer. It seems to be another of those timing issues with AutoIt. Sadly not the first, not the last...
For those who face the same problem as I have, here a simple solution :
#include <GUIConstants.au3>
#include <Constants.au3>
Example()
Func Example()
Local $hGUI = GUICreate("Main GUI", 300, 70)
GUISetState()
Sleep(100)
Local $hGUI2 = GUICreate("", 280, 30, 10, 10, $WS_CHILD, -1, $hGUI)
GUISetFont(11)
Local $idLabel = GUICtrlCreateLabel("This is a test", 0, 0, 100, 30)
GUISetState()
MsgBox($MB_OK, "", "Test")
Do
Until GUIGetMsg() = $GUI_EVENT_CLOSE
EndFunc ;==>Example
Slow down the creation of child GUI by putting a Sleep in between. It is working on all computers correctly now.