I am very happy to find that PCManFM does support ssh, and that it is possible to create a shortcut to a ssh connection, but I did not find out how to close such a connection : if I close the window and restart PCManFM, the connection is still valid (no password is asked).
I know, some will find my question stupid, but I am a little bit touchy about security...
OK, I'll check at next session (I think I asked to remember the password untill the end of the session, but I thought it was PCManFM's session - in case of unwanted disconnection - not lubuntu's). Its just that I am used to nautilus, which provides a logout button as with USB keys, for example.
Well, the password is remembered along all Lubuntu session (even when you ask to forget it at once), but it is forgotten when you disconnect. I don't find this perfect, but I'll do with it (there may be a difference with v. 1.0 of PCManFM).