Is it normal ? (I mean, the usual way to do).
sometimes it is. PKIView.msc relies on CA Exchange certificate information to retrieve CDP/AIA URLs for leaf CAs and then to build the hierarchy in the console. If you made changes, you have to revoke CA Exchange certificate, so next time you run pkiview.msc a new CA Exchange certificate will be generated with updated URLs.
Should I watch any side effect on the PKI when I delete and recreate this CA Exchange certificate ?
no. CA Exchange certificate is automatically controlled by CA. It is primarily used for key archival.