Hello Giortele,
In answer to your questions:
Q: it is possible to make a LOAD containing several lines of different orders that also point to different warehouses, so the mixed mode seems to be possible 1 Load -> N Warehouses
A: Really it is 1 Load: N Shipments. Shipments can originate from various warehouses.
Q: in the release to warehouse phase, the system creates 1 waze for each different warehouse, is it correct?
A: The basic split from a Wave Template is one per Site-Warehouse, so yes.
several shipment IDs are created and therefore it does not seem possible to insert everything in a single Packing Slip
this also creates problems at the packing level which does not allow me to aggregate and manage them in a unique way
Q: With you suggestion could you please confirm that I can create one Delivery note for different shipment ID and different warehouses?
A: I tried using the Summary Update options in Packing Sip and Accounts Receivables with no sucess. In my enviroment, I cant remove <Site> as a criteria for splitting Packing Slip. In theory, if Site was to be disabled you could have a Packing Slip for multiple sites.

Q: During the packing process can I merge two shipments ID in one single process of Packing?
A: Not if the shipments are from different warehouses, different customers or different delivery adresses. If they are valid for merging, if memory serves, you could merge them at anytime.
I am asking this because we have different logical warehouse in our Plant for several reason even if the stock are Physically close