Multiple binary dummy features Vs Multi-values single feature
As @K3 suggested, as @Sean Owen told me the name (One Hot Encoding), I can provide at least some elements to answer myself.

As found on sklearn documentation : 


  [...]integer representation can not be used directly with scikit-learn
  estimators, as these expect continuous input, and would interpret the
  categories as being ordered, which is often not desired.


It is implemented in sklearn as OneHotEncoder and in Pandas as get_dummies .