Even if i will re-new thermal paste, I will not loose more than few degrees. This afternoon again, my CPU hit 97 degrees... I contacted again Dell for that and they said they will come back to me monday (in 2 days)

So wait and see

My Alienware is under warranty until 2022 and the CPU is watercooled

my i9 9900k in my Aurora R8 is going until 95°C in game and

1. when I called Technical Support, they said : "it's normal, you have a powerful machine, i9 can go at max at 100... When I say no one have such temperatures, they said that if in the Intel site, they said that Junction Temperature is 100, if it's under 100, it's ok...

2. One year and a half after my purchase,

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1. That's funny. 

Check your liquid-cooler.

2. Is your machine still covered by extended-warranty?

I contacted again Dell for that and they said they will come back to me monday (in 2 days)

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Good.

Ultimately, it is Dell's decision how to handle the onsite Service visit, but I would suggest:

1. Replace Liquid-Cooler 

Note: To do this properly ... all the old Thermal Paste should be removed, CPU cleaned, and new applied.

2. Test operation (try to re-create old problem).

Maybe the AIO water cooling have a trouble... I have to wait feedback from Dell technical service this monday

"One year and a half after my purchase, my i9 9900k in my Aurora R8 is going until 95°C in game"

Some background info is needed.  Has it always gotten this hot, or is this an new problem that just came up?  For example, if it just popped up overnight then it's obviously not going to be an issue with the thermal paste.  But if it was always like this, then yeah, I'd look into that.  1.5 years is really I'd say probably too quick for paste to dry out. Unless the water block isn't properly touching the CPU, but if that were the case you'd still expect heat issues from day 1 with it getting progressively worse as the paste evaporates. 

Also, is this all stock or have you done any upgrades if so what.  And have you run thee epsa hardware test, to for example check that your fans are properly functioning.  You can also try bumping up your fan curve on the radiator fan. 

95 degrees for gaming is way too high. Games usually put the most stress on the GPU instead of the processor. I guess running CPU intensive programs on your computer such as CPU performance tests or video rendering or would immediately trigger thermal throttling. 

I would just install a 3rd party AIO liquid cooling to see if that makes any difference.