Thank you very much.
@Mathieu without importing tfdf but only tf (version 2.5.0)  I get the same issue for the NN model, tf 2.4.1 gives much better result (based upon many tries) in the log_loss, with the same script. So it does not come from tfdf but tf version 2.5.0.
I guess we can not have a workaround to use tfdf with tf 2.4.1 ?
For you information, the script imports :
import tensorflow as tf
import tensorflow_addons as tfa
import tensorflow.keras.backend as K
from tensorflow import keras
from tensorflow.keras import layers
from tensorflow.keras import activations,callbacks
from tensorflow.keras.optimizers import Adam
from tensorflow.keras.metrics import categorical_crossentropy
from tensorflow.keras import initializers
from keras.models import Model