Thank you Dmitriy for answering.
It is a strange error, I installed OpenJDK8 with @DrNick's "boshgen package --apt".
The Jenkins JVM is started and does not report error but it not not listening on its HTTP port and thus not serving any page.
I could generate a thread dump, it is like if the main thread died before starting the HTTP transport, I suspect that a not catched Java Error occurred on the initialization thread (usually, Java app catch Exceptions but rarely catch Errors).
I would have to investigate more finding debug flags in OpenJDK to track this failure.
For the moment, we will stick to OpenJDK by
pivotal.io
Cyrille