I cannot create more than one city. This is really annoying.
The other settlers only go to the first city.
Where can I find a tutorial or any explanation about the mechanics ?

Someone helped me on the Discord. 
So in case it happen to you, the reason is that you have to settle behind the white line in an other territory.

I had a similar issue and it was quite annoying. My settlers would walk up to the wall on the edge of the region of the city they started in and just resettle. You have to actually move them into the new region then click settle there instead.