@Coldsicc The issue is that you're playing in French. I mean, it's not a problem, but French is one of several languages (the others being Spanish, German, and Dutch) where the user folder's name is localized, in your case "Les Sims 4" rather than "The Sims 4." So while you're playing in French, the game will ignore a symbolic link labeled "The Sims 4" and just create a new "Les Sims 4" folder in Documents\Electronic Arts. The Electronic Arts folder is not localized (it has the same name regardless of game language), and the Documents folder follows the language of your OS, which the game has no problem handling.
You have two easy options here, both of which involve creating a new symlink. You can create one for "Les Sims 4" or for the Electronic Arts folder, whichever you prefer. If you switch between languages often, I'd recommend using the Electronic Arts folder so everything gets pointed to your external at once. Undo the existing symlink, then choose whichever option you want and go through the process again. In case it helps, this the command for each option:
MKLINK /J “%UserProfile%\Documents\Electronic Arts\Les Sims 4” “E:\Les Sims 4”
or
MKLINK /J “%UserProfile%\Documents\Electronic Arts” “E:\Electronic Arts”