Looks like setting the default working color space though Tools|Preferences|Color Management has no effect on anything.
There's another place to set it... Adjustment|Work Color Space and setting it there has solved the problem.
Hope it helps someone else avoid frustration...
This morning I had half an hour of great frustration , actually! So thanks a lot for this precious info
.By the way, even if I periodically try Lightroom, the RAW quality I get from my 30D using DPP is the best. This is the reason of the great frustration, when the Color Management seemed not to work correctly.