I just had a response from the Sparx support.
It works perfectly by doing the following :
- check "Optimize for Open Office" in the "Generate" tab of the RTF generation dialog
- open this file in OO, then save it in the word format
Then the bullets items are correctly displayed.
Too bad : this option is not associated with RTF generator patterns :-/
However, they seem to want to investigate the problem further : the ticket is not closed. Waiting for their news ...
More funny

, I had other problems with word : some text restitution are sometimes "randomized"... I mean that word sometimes displays "olleH rdwo" instead of "Hello world".
I thinks that it may be related to the word version we use here (2003), but infortunately we have no choice. Anyway, results are hazardous : some of my colleagues have the randomization problem, some don't... and we have exactly the same configuration on our computers !!!
And generating RTF with the "Optimize for OpenOffice" resolves this point without any need of opening the RTF file with OO (opoening it with word is sufficient) !! ... where this is not sufficient for the bullets problematic.

Hope this really annoying point will be fixed soon