However, what I think strange is :
-For opening the standard wallet already created I need a password
To the best of my knowledge, Electrum always asks you for a password whenever you create a new wallet or import private keys. You can, however, skip that section (just click Next) and the wallet will be left with no protection.
-When I create a new wallet (for importing the key) they don't ask me for a password for the new wallet. Is it normal ?
I've just tried with Electrum (importing a private key from a fresh seed) and I was also asked to choose a password to protect the wallet file.
Therefore :
-How do I find the wallet_b (the one created by "importing private key" in case I close Electrum. I ask that because they don't ask for password
As stated on the help docs[1], and assuming you didn't move the wallet elsewhere, all the wallets are created in the datadir folder by default. To reach there just follow these steps:
On Windows:
-> Show hidden files
-> Go to \Users\YourUserName\AppData\Roaming\Electrum (or %APPDATA%\Electrum)
-I want to be sure when I click on "Import private key" that there is access to a new wallet with the possibility to "Send" to an Exchange
After importing your private key in Electrum you'll be prompted to choose a password for the wallet. After choosing a password (or skipping it) you'll be shown the usual window where Electrum will show you the balance on your wallet and all recorded transactions. Since it's a Casascius coin you'll see a single transaction that is the one responsible for funding the address (in this case with 1 BTC).
[1]
https://electrum.readthedocs.io/en/latest/faq.html#datadir