The origin of my problem was the following :
1 - My default pdf viewer is Foxit Reader (because it is portable and
has some nice extra features)
2 - I saved the pdf output of LyX with the option "Save as" of Foxit.
For some strange reason, it turns out that Foxit does not save the file
that was sent to it "as is", but modifies it.
3 - For some other strange reason, it seems Acrobat reader refuses to
display files created by Foxit ( the pdf output of Open Office, loaded
in Foxit and saved with the option "Save as", is also displayed by
Acroread as blank pages).
A solution is to use SumatraPdf because it saves the pdf file it has
received without modifying it, and it is portable. Unfortunately, it has
much less features than Foxit.
Another solution would be that LyX creates (or copy) by default the dvi
and pdf outputs in the same directory of the LyX file, as good ol' TeX.
Could that be implemented ? This would allow to use any pdf viewer while
preventing hazardous manipulations like what I did with Foxit.
Thanks !