Thanks for the quick reply.

The problem is not with the final result on the picture.
If I put my lamp with a light source inside, the result is ok and the light is fine on the final picture. Light gets out of the lamp properly.

As you told me that it's supposed to work I tried again in different ways and finaly managed to do it and found what I did wrong:
If I click the source, press shift, click the lamp and then group it works.
If I select both by clicking besides and maintain click (like drawing a square) and then group it doesn't work.
What is strange is that I don't have this problem with all the light sources.

I don't know if my explaination is very clear... but at least it finaly worked.
Thanks !