Solved!
Taking a look to the logs inside C:\Program Files (x86)\CheckPoint\CPInst, generated during an old attemp, i saw an entry about "no file found in the SmartConsoleSetupFile folder".
Infatc:
Following your suggestions i did:
1. TAL sk with streams
2. Remove all the folders in C:\Program Files (x86) about CP:
Check Point
CheckPoint
SmartConsoleSetupFile
3. New installation attempt and this time all gone as expected.
Probably the folder "C:\Program Files (x86)\SmartConsoleSetupFile" was there for a previuosly aborted installation and each new attemps to write a file inside it was failed.
After the above step, the correct setup file is there:
Thanks at all!