Here is a very simple code:

1-My constraint plugin (MyConstraint.php)

/**
 * @Constraint(
 *   id = "MyConstraint",
 *   label = @Translation("Never Validated", context = "Validation"),
 *   type = "string"
 * )
 */
class MyConstraint extends Constraint {
  public $message = "error %value";
}

2-My constraint validator (MyConstraintValidator.php) [=>addViolation in all cases]

class MyConstraintValidator extends ConstraintValidator {

  public function validate($items, Constraint $constraint) {
    dpm("I am displayed");
    $this->context->addViolation($constraint->message, [
              '%value' => 10
            ]);
    return;
}

3-My constraint added to my bundle

function mymodule_entity_bundle_field_info_alter(&$fields, EntityTypeInterface $entity_type, $bundle)
{
    if($bundle=='my_bundle'){
      $fields['my_paragraph_field']->addConstraint('MyConstraint', []);
    }
}

Result:

1-The dpm message 'I am displayed' is displayed

2-The entity is saved without any validation error

Notes:

-I have other constraints which are working well, If I test one of them (on my_bundle), the violation of this working constraint will be displayed but not the one with the code detailled here.

-The problematic constraint is added to a paragraph field... I suspect the problem is coming from there

-Nothing in the error logs.

I am looking for a hint to where to look.