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So, after struggling for days on this topic, I think I found the solution.
This problem is related to lib generation inside CMake for Windows DLL which is something weird for a Linux developer :)
In the second package CMakeLists.txt, I just added the following

set(CMAKE_WINDOWS_EXPORT_ALL_SYMBOLS TRUE)

This way, CMake generated both lib and defs files for my classes.
I was expecting a special catkin directive but I had to look on CMake side.

I hope this will help someone else.