It's not the first time it happens...
but I don't remember how I solved this big issue on a mac!
From the max documentation:
"Click on the outlet of an object and drag from the outlet of one object to the inlet of another. When you release the mouse, the patch cord connection will be created"
Actually, due to some sort of change in the preferences, I must click on the outlet of an object and the patch cord is created (I can release the mouse) and then I must click again on the inlet of another to create the connection.
I feel stupid... but I don't find the way to get back to the state desribed in the documentation.