Ok, found where the issue is.

I forgot to set the data model; in QML example:
Mediaplayer {
MediaPlayerDataModel {
id: model
}

stateMachine: MediaPlayerStateMachine {
onDataModelChanged: start()
dataModel: model
}
}
So, in C++, I added the 2 lines for the data model:
QScxmlStateMachine* machine = new MediaPlayerStateMachine() ;
TheDataModel* dataModel = new TheDataModel();

machine->setDataModel(dataModel);
 machine->start();

Hope it helps some of you.

Have great vacation everyone.