Well I’ve not read the config file correctly … 
I forgot to change the value of parameter message_journal_dir
The issue I ran into is due to the fact that I deploy with ansible and I use templates to tailor the configuration file.
I took the configuration file from https://github.com/Graylog2/graylog2-server/blob/master/misc/graylog.conf and value for bin_dir, data_dir, plugin_dir and message_journal_dir are not correct in this file …
My bad because they are correct in the configuration file that comes with the RPM package.
Good lesson for the future 