My bad, I found the bug,
I should have used
        AH     R9,SMXP_WORKAREA_OFFSET  R9 = Pointer to the work area  

and no 

        A     R9,SMXP_WORKAREA_OFFSET  R9 = Pointer to the work area  

because "SMXP_WORKAREA_OFFSET DS H Offset to work area"   in 
SYS1.MACLIB(IFAEXITP)

Now, all is working fine. Login/logout no more make crash my IEFU86 !

Thank you for all your suggestions !

And sorry to have flooded you with my idiot problem :)

Guillaume

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