I found the problem !
The problem come from the ini, but no relation with resolution or windows mode...
It tryed serverals inis :
original uhle ini
last suprahle
last uhle by the company
ini of Ultrahle fr
and only the ini of the ultrahle fr, launched zelda and supermario EUR, and successfully.
Here is the ini of ultrahle fr (1.49), so please, UltraHLE developpers think about this for inis of future releases...
In fact, according my numerous test the problem got no relation with ultrahle executable (original 1.0.0, suprahle, alpha 1.0.0, Ultra.exe fr 1.49...) or glides wrappers.