Hi @enricoantonioli
What does HSE_SWT_RST mean? It stands for HSE Software Watchdog Timer Reset.
Is it a reset due to an internal HSE watchdog or what? The HSE CPU is mainly composed of Arm Cortex-M0+, which one of its essential peripherals is the watchdog.

So yes, it is trigger by HSE SWT as the name implies.
Why this reset occurs if no firmware is programmed into the HSE memory? The HSE CPU, even if the HSE firmware is not loaded, is active because it contains the SBAF code.