Glad you figured it out Kevin

Here is a simple project where you can follow along: Windmill example
Here are the User guide videos: Spine User Guide - Getting Started - YouTube
Here are some Twitch streams that show complete processes: Spine: Twitch (you could maybe start with the Sunflower project!)

I am wondering, if keyframes at the beginning of the animation is so much needed why not automatically create it ? Is it to avoid to clean it if we don't need some keyframes ? The only reason I see to this would be for read time animation in games, if that's it how heavy is a keyframe ?

Setting a key at frame 0 tells Spine what value to interpolate from between that key and the next key. You may not want to use the setup pose value.

Yes I get it but if you want to change that pose, you will create keys anyway so what would it change if the keys are all already checked ?

Not sure what you mean by "keys are already checked"? Are you suggesting we key everything on frame 0? That would add many rows to the dopesheet and make it hard to see the keys you care about.

In some cases, you don't want to key values until later in the animation, eg when something isn't visible yet. When playing animations using tracks, you might want an animation on a higher track to not key values at the start, allowing any animations on lower tracks to show through.

It's best to key the values on frame 0 that you actually need keyed. This is rarely all keyable values.