I believe that I've answered my question... When you are trying to record something that Catia is not able to encode, VBScript begins to have some probles to record easy Macro ... I've just done the test two times. To be able to record a macro again, you have to restart Catia.
It's because I was trying to record a split in GSD. So when I tried this and that gave me nothing between main Sub and End Sub, I tried to record an other easy macro. There was still nothing in the VBScript Window. Like I've said, to be able to record an other recordable macro, you have to restart CATIA.
If you have other suggestion, I will be pleased to receive them!!!