OK.
My bad :
Do not run simulation with instances inside cloner (even regular instances)
DO not cache Mograph Cloner, as the Mograph cache doesn't work, at least here (switches material/object from a frame to another)
Bake external / alembic on a new clear folder
The Alembic wont keep materials so we cannot re-import the alembic file (for like tweaking one "particle) like we used to.
Hope this help someone else…
Keeping on it a bit and switching back to r18 if cannot do it within 2025…
Cheers