Here below is the answer I received from Michaël Richard - functional consultant in Odoo:

"Hi Leopold, I think the reason for that is Odoo collecting the pickings linked to a sales order through the procurement group mechanism. This way, if you work with 2-steps out for instance, you'll see both the PICK and the Delivery Order operations as well as their statuses. When using MTO, the receipt is also linked to your sales order through the procurement group (there is a direct link in between the IN and the OUT operations). Is it good or not? That's a design/usability choice ... for some customers requesting a lot of traceability (B2B probably), it is interesting. For others (B2C probably), less fancy ... To avoid that in standard, you'd have to use reordering rules (IF you don't need a strict link between sales & purchase). Or you should consider a small development to change the pickings you are searching for and hence displaying. Hope it helps !"

That's correct :)