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.