Mystery solved ....

I was using client mode gateway because in server mode my arduino mega reset every time that send an ethernet packet. In client mode as I say, domoticz connect to the arduino but there is no traffic from arduino to RPI domoticz presenting my relays. I read that client mode is buggy at this time, so I try to get server mode without the resets.

To avoid resets in my chinese arduino mega 2560 & chinese w5100 I need to downgrade de AVR library from 1.6.13 to 1.6.11. So all works Ok with my to gateways (usb & ethernet() connected to my RPI domoticz controller.

I don't think so because a relay is an s_switch than don't send data, only receive orders from the controller to switch on or off.
Also in the usb gateway i get the registration of relays. Anyway i'll try to put one temp sensor in the ethernet gateway to see if it appear in domoticz.

@TheoL No, in mysensors 2.0 you can have gateways with local sensors or relays without radio only commenting all radio #define's