Indeed when I use the default settings it works, I can click on a category and it leads to the posts in that category. As soon as I use %postname% instead, it doesn't work anymore. I read the Using_pernmalink page you suggested and it says:
A sanitized version of the title of the post (post slug field on Edit Post/Page panel). So “This Is A Great Post!” becomes this-is-a-great-post in the URI (see Using only %postname%). Starting Permalinks with %postname% is strongly not recommended for performance reasons..
I do not understand. Does it means it is not recommended at all to use the structure %postname% ? Why does it exist then :-(
I was recommended to use this structure for better ranking purpose
Thanks for your help