Thank you for you answers.
I kind of have found a middle ground solution that I will sum up here if anyone meets the same problem :
As i use only a few mods - graphic ones - I create a new playset each Time I want to play, organise them and launch Stellaris, and that does the trick. If I ever want to start a new save, I just do it from the Start menu.
I also noticed, but I need further testing, that it's possible that GFN keeps track of the set up and launch the game with the previous mods. I can't be positive, but as I use a menu Screen with an Illustration I like, I once saw it was on though I didn't do a playset first.
Then this is tedious and needs to manage mods from your Steam subscribing List if you want to get rid from one. Wich can be done easily if , like me you don't use a ton of mods (I'm still discovering Stellaris, but since I got almost all DLC at once, I play a fantastic game already).
Ans Saves are available in-Game at the start menu
Also, using GFN offers an incredible QoL, it's runs the game absolutely smoothly without any heat inconvenience, noise or unexplainable crashes, it's just too bad it doesn't work like it does with CK3 and V3. Streaming games is clearly the Future of gaming,if you ask me.