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This is a bug, you're not doing anything wrong.
I'll keep it in my mind.
Thank you for your answer.
Choose "Below the Pin" and the re-numbering should work and place the pin numbers at each pin just below. The defect is against the "Above the Pin" placement, at least in the version I tested when I wrote the defect.
After the placement they pins are still selected and you can drag them to above the pin.