Hi Pierre-Frank,
The same issue occurs with the new feature in v12.1.1 called Allow users to access data.

You need to enable this feature from the dashboard Properties.
Then when you click on a widget, you will see a new Export to CSV icon.

When you export the CSV file, the same issue occurs:

I've logged a ticket with IBM support on this issue: TS020705783 and https://ibm-data-and-ai.ideas.ibm.com/ideas/CA-I-4703
You can vote to have a feature added here: Local separator is not | IBM Data Platform Ideas Portal for Customers
(Updated to add case number and idea)
Best regards,