Ok, I got it.
I added kak-lsp binary in ~/.local/bin (so added in PATH) and it is working well.
Strangly before that I could launch kak-lsp from anywhere.
I will try to find what I missed with plug.kak …
The good way is as andreyorst explained :
But I have some trouble on the computer to do git clone or apt-get install, I need to switch network…
Ok, so, good new, we can work with Kakoune on Windows 
with WSL.
I think I saw maxxx is already working well with WSL on other post. Now I can confirm it is working too.
Thanks ulis and andreyorst.