So I figured it out.
First of all, I had picked the wrong keyboard model I think (you do that from the "Keyboard Layout Handler Settings" in Lubuntu). I chose "applealu_iso" instead of "macbook79" (internaltional variant of us "macbook78").
But that didn't solve the problem. As there is no "3rd modifier key" (also called ALTGR or RALT for Right Alt) on the macbook pro keyboard.
But there is 2 Super keys ("Apple" option keys, the equivalent of the "Windows" key on PC keyboards). Those 2 super keys have the same effect but I never use the right Super key. So I decided remap the right Super key as my 3rd modifier key (ALTGR/RALT).
So here is how to do so (this article heped a lot https://medium.com/@damko/a-simple-humble-but-comprehensive-guide-to-xkb-for-linux-6f1ad5e13450
Use the following command in a terminal to get the key codes
xev -event keyboard
On my macbook I pressed the right super key, and the code returned was
Press CTRL C to exit, then edit this file
/usr/share/X11/xkb/keycodes/evdev and reverse the codes for RALT and RWIN this way :
<RALT> = 134; //modif old code was 108;
<RWIN> = 108; //modif old code was 134;
(Note there's probably a cleaner way to do this, editing the
/usr/share/X11/xkb/keycodes/macintosh file for example, that contains the mappings for the macbook78/macbook79 models, or even better create a new keyboard model, in order this is not overwritten by updates)
To apply your modifications, try to type "sexkbmap fr" or "setxkbmap us" depending on the layout you use, or reboot if you're not sure.
And that's it, it works now, I can get all my 3rd modifier keys (with the SHIFT variant as well).