After more investigations it’s not a bug it’s a limitation of the VST3 standard until version 3.6.12 (2018/12/03) of the VST3 SDK.
Version 3.6.12 add again support for MIDI CC output that was available previously inside the VST2 standard and had been dropped.
From the VST3 SDK release notes for version 3.6.12 (2018/12/03) :
Interfaces Changes:
New LegacyMIDICCOutEvent (Plug-in): allow a Plug-in to generate MIDI CC as output event.
So the VST3 plugin need to be updated to this SDK version level to get Midi CC Ouput.