Hi Bruno,
Especially for asynch. inbound proxies AIF is usually not persisting the data but is displaying the payload stored in the local integration engine. Did you check if you can see a payload in the standard XI monitor (transaction SIX_MONITOR)?
For an asynchronous inbound interface the persistence engine and the application engine need to be set to proxy. And you should call /AIF/CL_ENABLER_PROXY=>PROCESS_MESSAGE. Pass the input parameter and the name of the exception class.
Best regards,
Verena