Hi,
Thank you for your answer, and I appologize for my later response.
1 Do you modify any other code except the 'cPWR_UsePowerDownMode' ?
No.
2 Does this happen in the other example?
Yes. My focus is in BLE examples. So, I tested Beacon and peripheral with extended advertising. All with the same issue.
3 Use GUI flash to do Mass erase.
So sweet =O It solved my problem many thanks. I didn't have the same option as you on my IDE (v11.4.0) both on Windows and GNU/Linux. So I did erase all flash banks (see capture below) and it worked after flashing the HRS example from the SDK (without any edit). Holding the SW3 made my board starts advertising.

Currently, I m trying to study the power management on this chip as my software is targeted for automative use. So, I need to write a piece of software that exploits BLE with the minimum power consumption possible (How to enter deep sleep mode/exit from deep sleep, types of wakeup sources and how to configure them)
As I said before, I don't have any experience with NXP MCUs. Thus, I don't know where to start. If you can point me to the right direction it will be very helpful (resources, courses, etc).
I marked you answer as a solution. Many thanks.