Hi Guillaume,
We tested the feature again and we could not reproduce the issue!
Can you please check whether SavedStyle.CSS file is present in the Theme folder? This file is typically located at C:\Program Files (x86)\Prolaborate\WebApplication\Assets\Styles\theme.
If it's not generated, this issue should be due to the issue with write permission of IIS on Prolaborate installation directory. Kindly set the permissions of IUSR and IIS_IUSRS to give full control for the Prolaborate folder and try again.