Hi,

@unknownuser said:

when creating the component, do we have to glue it on a selected plane and define to cut a hole already? (like glue vertically, per exemple)

No.

@unknownuser said:

the wall stays in 1 piece, and no hole is appearing

Dropping the window in the wall doesn't automatically create the hole. Right-click on the window (or on a selection of windows) and select "Window and wall > Cut wall from window".
See chapter 2 of the PDF, everything is in there πŸ˜‰