Bug#608201: Install with network solve the problem.
Just on http://lists.debian.org/debian-live/2011/01/msg00023.html
joseangon say a possible cause for this bug. If installer configure the network, the installation is OK. In my case, all the test were performed without network. If I setup the local network, with the same usb-stick, the installation is OK.
So it seems that the problem may be because apt does not know where to get packages grub if the network is not configure.