I've downloaded the latest version of Pkhex and a file data of a Pikachu from the forum and it's now working. I don't know why, but the Pokemons I had create are not in the boxes. I'll have to be more careful with the websites I download the files.
Thank you for your patience theSLAYER, you have been very helpful.
The problem is solved. I'll let you know if I have more problems creating Pokémons from PKhex.