I can now report a success !
• I could unlock the bootloader again, but had the same problem as I described in post #1.
• Thanks to the video that @Mystic pointed to in post #13, I noticed that my phone displayed KG STATE : Prenormal in Download Mode, while the phone in the video displayed KG STATE : Checking.
Reading https://forum.xda-developers.com/t/unlock-oem-or-bypass-kg-state-check-without-a-sim-card-or-internet-connection.3945233/ revealed that KG STATE : Prenormal means that OEM unlock is OFF.
Explanation : right after one unlocks the bootloader, the Samsung S10e reboots. But it reboots with developper options OFF !
I used to shutdown the S10e when it wanted to begin the installation of Android. This time, I went on, reactivated Developer options and thanks to the trick provided by @sts61 activated OEM unlock again.
• I rebooted in Download Mode, and this time my phone displayed KG STATE : Checking. This time, the following steps succeded !
I could install Iodé Recovery 3.1 + Iodé OS 3.1, but the installation instructions need to be updated (double dash typo + additional steps to reactivate OEM unlock after unlocking the bootloader).
Now is the time for me to try Iodé OS 3.2 !
Moderators, you now can alter the subject to mark the problem as solved. Thank you all !