I had to give up trying to make VE Pro and Play work together on my hardware setup (even though it is the same of other users who claim to have successful experience with that).
Until an official support for Play is integrated in a future VE Pro release, I had to accept the compromise of using both VE Pro (for any plugin but Play) and FX Teleport (for Play only).
Everything work like a charme even if I can't take advantage of the preserve function of VE Pro, so I have to wait the loading time of the samples in Play. It's not a big issue, but an integration of Play into VE Pro could simplify enormously the workflow.
Thanks to everyone here helping me out with my problem, particularly to CSTeam for sharing his experience with me.