A little feed-back about my problem... A made a mistake, but there is a bug too.
To create a HD (or USB Key) to put the rom in external, the way is "System setting - Storage Device" (not "Install Batocera on a new disk").
But in "Storage Device", i can't see my HD (but i can see it in "Install Batocera on a new disk"). I tried different format (ntfs, fat32, exfat) but noway. I can choose "Anyexternal" but nothing happens. Batocera keep the game from Intern and my HD stays empty when i connect it to my PC.
Thank you very much Voljega for his help on the chat Discord.