For security reason, I want to delete the first user (which has all rights, event without the admin role) and login only with the
drush uli command. How can I do that? From the backoffice it say I can't remove that user
I doubt that's possible, or at least not without messing with a lot of core code.
User 1 is synonymous with the root user in linux. It can be disabled, hardened, made virtually impossible to access, but not removed.
See Securing user #1 for more information.