Hi @Romain Vilbert ,
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution in case you'd like to "Accept" the answer.
Issue: Automated Detection and Response for Azure WAF with Sentinel was giving error "InvalidTemplate. Unable to process template language expressions in action 'Parse_Entities' inputs at line '0' and column '0': 'Required property 'content' expects a value but got null. Path ''.'
Solution: @Romain Vilbert has found the issue was coming while access setting the Azure WAF due to which parse entities was not receiving correct input.