Hello Sylvain Rousselle,
Thank you for reaching out to Microsoft Support!
Please check if you have delegatedAdminRelationship in Azure AD Delegeted admin partners.
If you did not Create the relationship, returning an empty result is the expected behavior, and you can create it using the Create endpoint and then List it.
Reference document:
https://learn.microsoft.com/en-us/graph/api/resources/delegatedadminrelationship?view=graph-rest-1.0
Hope this helps.
If the answer is helpful, please click Accept Answer and kindly upvote it. If you have any further questions about this answer, please click Comment.