First, thanks for your answer.
Yes now I have tried to install it on a USB key and it's work perfectly.
The dell support told me that the embedded SD card is for driver update and not OS installation.
On an old dell documentation, I have found the DRAC (Dell remote Access controller) can lock the card. Unfortunately on the version 6 which is installed on the server you don't have any option to disabled it. I guess I have no other choise to keep the usb key