Hi Christophe,
Bad news - here is the answer from VMware support :
"At the moment, keyboard sync over PCOIP from thin/zero clients is not currently supported."
They wrote a kb article http://kb.vmware.com/kb/2064865 (not available at the moment I'm writing this comment)
They suggest the following workarounds :
1. using a windows client
2. Dedicated pools or desktops with a matching default in the guest o/s for the client-side keyboard.
Both of these workarounds are useless for us (21 different keyboard layouts in our Institution) but maybe interesting for you...
Cheers,
Pat