I made a scene with multiple figures, but when I try to change the lights, like a change of the whole lightset or when I delete a light, one of the figures disappears from the scene. The undo function doesn't bring it back...

How can I solve this problem ?

Tnx.

Check to see if the character has accidentally gotten parented to a light. You can check this using the heiracry editor located under the "Window" dropdown.