I have tried multiple configuration of my router to play in multiplayer (with my firewall down): each time I have this error in the debug console (with direct route in the router):

Requesting connection test on port 14800
Open connection test failed
Detection NAT Type...
...
Net Configuration Failed.

With UPNP, the UPNP configuration is ok, but finish in the same maner.

It is very frustrating...

You get that error when there's something blocking a connection. It could be anything. Firewall is the most obvious reason. Make 100% sure there's an exception for it. Check windows firewall, check router firewall, check antivirus programs etc.

Also, check ageofwonders.com/support/networking/

The firewall was off, all security software (even antivirus) was off. Really strange.
Thanks for the answer :).