Solution found
First, 100% confirmed it is a macOS Sequoia bug. After countless hours of self-work, I got the solution thanks to the work of the user r/TheGreyAsteroid on Reddit. For advanced users, you can go with Terminal. For typical users, be aware that some folders are hidden to prevent you to fix things that Apple do not fix. Press Command+Shift+Dot to reveal hidden folders. After reboot, they will be hidden again.
- Set your Mission Control mouse shortcuts as usual.
- Go to ~/Library/Containers/com.apple.Desktop-Settings.extension/Data/Library/Preferences folder.
- Copy com.apple.symbolichotkeys.plist file.
- Go to ~/Library/Preferences
- Paste the com.apple.symbolichotkeys.plist file. Re-writte the previous one.
The bug is the macOS core seems to save the shortcut preferences directly into the step 4 folder, but it should be saved in step 2 and 4 folders at the same time.
Inspired in this thread from Reddit.
[Edited by Moderator]