Hey @jppanchaud,
I tested it with versions 0.141.0 and 0.141.1, and I was able to replicate the issue. May I know which version are you using? I also tested this on v0.138.0 and it works well.
You can either downgrade to 0.138.0 or setup the N8N_USE_DEPRECATED_REQUEST_LIB=true environment variable. For more information, check out this post: Get Cookie After Login - #10 by Edson_Rodrigues