Quick thought : what happens to these OoG zones in soft-proofing? Is the loss of detail dramatic? Does that match to the printed result?
What the OoG indicator doesn't tell is how far the color is from gamut limit... For me, it can point to where to put attention, but doesn't necessarily indicate a problem in itself.
Correct, one area could just be 1% out of the gamut and another could be completely out of reach. I rarely (if ever) use the out of gamut warning these days.
Edit for a 2nd quick thought : keep in mind that the Archival/Enhanced matte gamut is narrow anyway...
Good point, luster, glossy papers are less problematic in this regard.
I can't reply to Pierre's question (did something wrong or not) but personally, I struggled a lot with some of my images and in the end, I used a different paper. I guess that expert users with better Photoshop skills than mine could probably end up with better results (on Archival matte paper).