Thank you @stephdl for the hints!
My UTM, has the Proxy-DNS module settled in “Transparent mode on ORANGE” (DMZ). After I bypassed the IP of the NS email server, it works!
No more error messages in messages.log or in Rspamd UI!
[root@mail ~]# dig google.fr @127.0.0.1 -p 10053
; <<>> DiG 9.9.4-RedHat-9.9.4-61.el7_5.1 <<>> google.fr @127.0.0.1 -p 10053
;; global options: +cmd
;; Got answer:
;; ->>HEADER<<- opcode: QUERY, status: NOERROR, id: 59472
;; flags: qr rd ra; QUERY: 1, ANSWER: 1, AUTHORITY: 0, ADDITIONAL: 1
;; OPT PSEUDOSECTION:
; EDNS: version: 0, flags:; udp: 4096
;; QUESTION SECTION:
;google.fr. IN A
;; ANSWER SECTION:
google.fr. 102 IN A 216.58.214.227
;; Query time: 4 msec
;; SERVER: 127.0.0.1#10053(127.0.0.1)
;; WHEN: Sun Nov 04 16:17:34 EET 2018
;; MSG SIZE rcvd: 54
[root@mail ~]#