Thanks a lot for your answers.
Firs tof all this issue should be moved to Mac env. as it's not related to iOS, sorry for that.
Let me clarify my point of view of this issue :
1/ Regarding the access behind a proxy using a VPN : this proxy is only here to grant access to internet, no other rules (nothing is filtered once connected to internet through proxy).
It's clearly a bad management of the Mac proxy setup from Evernote application : when I'm setting up manually the HTTP(S)_PROXY env. variable manually in the terminal and launching Evernote app with command line just after : it seems to solve the issue (temporary as the proxy changes every hour) : that means that Evernote doesn't read the Mac PROXY env. setup "dynamically".
2/ As Evernote doesn't able to get access to internet through proxy, the sync is not working, but the big issue here is that Evernote app told me that everything is saved and recorded, and I don't receive any "connection lost" issue : only after deactivating the VPN, suddenly everything disappears and is lost...