Thank you for your message and your advice.
"Protect" doesn't work anymore, and this without any configuration change on my Pfsense, it's actually a new version of the "Protect" application that broke this.
On the Ubiquiti forum, there are other messages from members who have exactly the same problem. And no help from official Ubiquiti support.
I'm talking about my configuration where my Pfsense blocks all connections from my "Cloudkey" to the outside and where I used to connect to it without any problem with my OpenVPN and the "Protect" application, now it's impossible (including while on my WiFi)
Yes, updates are no longer offered. If I want them, I disable my two rules on my Pfsense and they come. The latest update https://community.ui.com/releases/UniFi-Switch-6-6-61/8f96bd97-d43b-4387-9b5e-6273f5db54bf seems to break a lot of things, and I'm glad I didn't put this new version on my appliances (anyway I don't leave the updates in "automatic mode" for security reasons ... which not everyone does, as several have had problems waking up).