The problem was due to the network mode in the KMV VM. By default the network is set to NAT which enable communication from VM → theWorld but not on the reverse side which is needed here.
You need to configure the nertwork in bridge mode. The bridge mode configuration is described here: Install Home Assistant OS with KVM on Ubuntu headless (CLI only)
Please notice than in my case, the Wifi network cannot be bridged. I must connect to the ethernet to make the bridge works. Moreover, when configuring bridge mode with the wifi network, no more network where available on the Linux Ubuntu box.
So be very prudent with this function.