Someone on the site of Reality give me a simple explication (thank Maddoctor):

''Do you have the "Overwrite Warning" checked? It's on the Output tab of Reality. If the answer is yes then when you start a new render you see the warning "The scene file or image file already exist in the destination path. Do you want to overwrite them?". If you press the "No" button, the message "Exporting Materials and lights…" will stay near the bottom of the Reality window forever confusing you thinking that you pressed "Yes" instead.

I think you might be confused because usually the "Yes" option is left and "No" is right but in the Reality window it's reversed.

The moral of the story is: always read the messages before you press a button''

That was the problem