Hello Jérôme,
This seems similar to: https://groups.google.com/d/topic/go-cd/YBIaZKxR_Vc/discussion
You need to see which user the GoCD Agent is running as and change it at the level of the service or run a zip agent as a different user. The “System” user services run under is not the same as the “Administrator” user.
Cheers,
Aravind