Why is not known whether integer factorization can be done in polynomial time knowing how to do primality tests efficiently? First of all, I have just started studying computer science by myself and maybe I just need some clarification of what "polynomial time" means regarding the time complexity of an algorithm and references to study it well.

As I have understood it, whether integer factorization can be done in polynomial time is still an open question and, as this article in wikipedia (https://en.wikipedia.org/wiki/Integer_factorization) puts it, 


  When the numbers are very large, no efficient, non-quantum integer
  factorization algorithm is known; an effort by several researchers
  concluded in 2009, factoring a 232-digit number (RSA-768), utilizing
  hundreds of machines took two years and the researchers estimated that
  a 1024-bit RSA modulus would take about a thousand times as long.


So, trying to see that for myself, I have written a very naive code in MATLAB checking it with prime numbers up to 15 digits; the reasoning being that if I can check if a number is prime fast, I can easily modify the code to give me the factorization fast.

The time it takes the code to check if a number is prime doesn't grow exponentially with the input. 

function[]=prime(n)
tic
f=floor(sqrt(n));
for i=2:f
    if rem(n,i)~=0
        b=0;
    else
        b=1;
        disp(i)
        break
    end
end
if b==0
    disp('prime')
else
    disp('not prime')
end
toc
end


And so I go back to the question in the title. What is wrong with my reasoning?
Since your algorithm is "fast", why did you only try it with a 15-digit number and not with a 232-digit one? There's serious money to be made if you indeed have a "fast" algorithm.

Your algorithm takes time (if we count "div" as taking constant time) proportional to $\sqrt{n}$. A $d$-digit number can be as large as $10^d$, so your algorithm takes time proportional to $\sqrt{10^d} \approx 3.16^d$, i.e. exponential in $d$, the number of digits. That is by no means "fast" and grows very quickly as the numbers get larger.

It is polynomial with respect to the value of $n$, but not with respect to the size of $n$. This behavior is called pseudopolynomiality.

The "fast" prime testing algorithms use much more sophisticated approaches which can not be modified (easily) to also give a factorization. They just report yes/no whether the number is prime. The AKS primality test uses time proportional to $d^6$.