Thank you very much Z-Trooper, I finally succeeded in exporting this nade.
I got this in the editor (after having turned the nade by 90degrees because of the pivots as you have pointed it) :

The animation works pretty fine, since I changed a bit the grenade position comparated to the standard smoke grenade to fit it (the finger goes into the ring)
But as you can see, there is no texture applied on the model, because I messed up the texture file directory (I checked it with ShaderWrapper, there was a "/weapon" missing between object/ and handheld/...

ops

Then I reexported it with the correct directory, no problems until I opened the bf2editor, I can't find the nades within the weapons...
And I really don't know why !