I finally got a valid VM upgraded from W8.1 to W10.
For the performance, it is clear that all external SSD are not equal : the "integral SSD 512Gb" (bought from Darty) was the one with very poor performances, getting very hot while trying to run the VM on it. It was unusable even for other Mac OS tasks at the same time.
I tried another one, an internal SSD (Kingston) that I recycled into an Inatek adaptor (from Amazon), a tool-less model. And then all went smoothly, performances where back.
But the error still pops up (I cloned the W8.1 on it). My idea is that the windows 10 updates needs some room space and that to create this, I had to use some space then delete the files. I downloaded the W10 image for DVD (3Gb) then copied it on the Mac partition, then deleted the image in the VM (so now I had 3Gb free), mount the iso on the DVD interface of the VM, and launched the setup.exe. All went very well (and very fast).
Hope this will help if someone else run into the same kind of troubles.
Last edited: Jan 16, 2016