OK, my problem is solved.

Here are the changes, between version 7 and 8.

1-the name of the cookie
V7 = "sid"
V8 = "session_id"

2-in the JSON queries
V7 = need to put "session_id":"xxxxxxxxxxxxxxxxxxxxx"
V8 = no need

Example :
{"jsonrpc":"2.0","method":"call","params":{"model":"res.partner","fields":["name","ref","credit_limit","fax","sale_warn","sale_warn_msg","property_product_pricelist","property_payment_term","sale_order_count","phone","email","country_id"],"domain":[["customer","=",1],["is_company","=",1],["display_name","ilike","AGR"]],"context":{"lang":"fr_FR","tz":"Europe/Brussels","uid":1,"search_default_customer":1,"bin_size":true},"offset":0,"limit":80,"sort":"","session_id":"1bc3ee4bdbbf432f88b38313c4d35ae2"},"id":791668276}

3-the mechanism
V7=need to set the cookie, with the value (retrieved from the header) and not the session_id (sent by OpenERP, after authentification)
V8=both are identical

Last but not least : "web/session/authenticate" is working fine V8. I made a mistake.