Hi there, @Franck_Bohbot and welcome aboard 
Many thanks for the feedback!
I totally agree that it would be great to have this function built in the widget. We’ll try to consider this opportunity, especially if this request gains more votes.
The good news is that it’s possible to get URLs for each category using the custom script provided in this guide - Portfolio: How to get a link to a certain category.
Give it a try and let us know if it worked for you 