Anyway, for all readers, (if any), for me the topic is closed. Using Sd card is not the right choice for having a dynamic management of thousands of files. I did this, and actually the problem is not to read etc. As a matter of fact my App works well either in the GetSafeDefaultExternal folder or in the Sd card, with same thousands of files. The difference is that, while in GetSafeDefaultExternal you just supply the file loader with the file name, and this takes zero time, with the Sd you have to supply an ExternalFile object. (Thanks to AGraham I know that just giving the name to an ExternalFile previously obtained, is not the simply dirty solution). You "cannot" (in practice, in my case) get the ExternalFile object "on the fly", because it will take several seconds to do it, using ExternalStorage.FindFile. I mean: "you can", but your customer "cannot", because in this case, the App is dynamically displaying tens of bitmaps at every zooming/panning operation. So each "movement" on the screen implies waiting for tens of seconds. As an alternative, you can wait minutes at the beginning of the App, for having the list of all the (thousands) of files to use. Once done this, everythign works just like with GetSafeDefaultExternal. No practical difference. Finally, to restrict the drawback to wait minutes, to just a first time, I was thinking to permanently store the ExternalFiles references. Then, a second time, the App should only read these references. (The thousands of files will not change). But our friend AGraham said that this will not work, and of course I believe him. So, I don't see any way to go on.
The only open question is: Sd card price varies from 15 Euros to 50 or more. All of them declare more or less the same speed (if I saw well..). At this point I am glad to have bought the lowest price one, but maybe my greediness is the cause of my problems. Could a more expensive Sd card allow a ten times higher speed? Maybe this is an option. (Greedy man pays twice.. Russian proverb)
Forgive me if I wrote something wrong. I am not a guru at all. Gurus are free to correct me. I Just see the facts, in my situation. I wrote this post for anybody that could have a similar problem.. Thanks for reading.