I did some more tests. In fact my code got stuck on the line :
Close(WB)
But only if I use add an OLE object before. I already used Close(WB) on another code with writing datas and changing forms and it worked well.
So I thouth about an issue while saving the xls file with the OLE object and tried this :
WB.Close(1, MyExcelFile)
But same behavior. Matlab get stuck on this line without closing the file.
If someone has an idea.