OK, solved.
I have added DEBUG_FLAG=0 in my command line to build wxwidgets.
Until now, I had DEBUG_LEVEL=0. I have seen that somewhere, some time ago and until now I had no problems. But the parameter in the command line is DEBUG_FLAG, which is 1 by default and set a wxDEBUG_LEVEL (not DEBUG_LEVEL). Now, with DEBUG_FLAG=0, it forces wxDEBUG_LEVEL to 0, and I am no more annoyed by this wxAssert Message. May be, it masks an other problem, but it works as in 3.1.4 version.