Alleluiah ! I found the solution !
Based on this post : http://www.mail-archive.com/debian-b...msg869561.html, I edited all firefox.desktop files I could find, namely :
to add the MimeTypes found in chromium-browser.desktop :
But it failed, even after a restart.
So I headed back to xdg-open which launches gvfs-open (gnome-open can be used if gvfs-open is not found).
Based on https://bugs.archlinux.org/task/23237, I tried
which returned nothing.
xdg-mime query default x-scheme-handler/http
Then I did this to handle http with Firefox :
And tada, it works !
xdg-mime default firefox.desktop x-scheme-handler/http
All links open in Firefox !
NB : Just for fun, I tried to set Chromium as my Preferred Browser and guess what, all links still open in Firefox... anyway I don't care, it's just that all these settings are overlapping each other in an all too complicated way.