OK I found it.
Resolve beeing a massive mess, I found that in the EDIT page, I've to show the Track Mixer (nothing else) and only there I can change the number of channels from 2 to 6.
Let's recap: to be sure to work with 5.1 audio we have to check:
- Resolve Preferences > Audio playout
- Timeline Setting
- Clip Settings
- Audio track channels
- Track mixer channels
Is this right? Am I a stupid non-professionnal moron or maybe the magic of softwares didn't apply here? Because these machines are made to make our job easier, not harder. Or maybe it's to please the ego of the people who knows all the little tricks? Anyway, that's why I hate to love this tool, like a tumultuous marriage.