SOLVED!!!
It’s known that the problem appears when using non-english characters in windows user name because the sim can’t find the custom flight folder when you are setting up a new flight.
I’ve resolved the problem activating, in my Windows 10 (build 20H2), the “Beta version: Use UTF-8 for language compatibility” checkbox.
To do that, you have to go to “Control Panel” --> “Clock and Region” --> “Region” --> “Administrative” Tab --> “Change system regional configuration…” --> and check the “Beta version: Use UTF-8 for language compatibility” checkbox.
After that the problem doesn’t appear anymore and you can set up a new flight without any problem.
Sorry, I couldn’t check that in other Windows versions.