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Then suddenly some containers fails

There's not enough info in your description to say what happened, but probably you hit some limit for the number of processes by leaving everything open? Anyway, it seems you found a workaround.

Before Docker the windows installation was so simple. But since 2021, no upgrade has been done in that way.

Not sure I understand what you are saying. The old standalone Windows installer is gone because nobody was available to maintain it anymore.

Using docker to run SageMath on Windows is not the recommended solution. Have you tried the WSL approach described here?

My second problem is that is there a doc which explain how to install other software for Sagemath under docker (like Gambit) for DUMMIES.

The docker images are based on a Debian/Ubuntu. So any manual on how to install software in these systems on the command line should work. (Basically, apt-get update then apt-get install -y name.) If you don't know how to get to the command line, you can also run these commands by prefixing them with a ! in a SageMath session.

However, you likely want to install software into the SageMath system. In this case, you cannot use the sagemath/sagemath/ image but need to use the sagemath/sagemath-dev image. This allows you to run sage -i name for any of the optional packages.