Hi Cyril,
I think what you're experiencing is that the "legato" notes are possibly too short for a whole measure at a slow tempo like 39.
The notes from the legato programmes are not looped.
The notes from the sustain patches are looped so will extend a whole measure whatever the tempo.
If you increase the tempo of your piece you will find the "legato" samples will become legato, though I doubt if this wil be a solution for you.
I don't know what articulations are included in the SE package so cannot really offer a work round for you except the use of sustain samples though perhaps you could try re sounding the note at some point in the bar.
Julian