It seems that passwords must be UTF-8 compatible. ÆØÅ for example are unrecognized characters and will be input as such if the password is set through the system panel in volumio web interface.
Ok, actually it is working after another write of the system image (it is the first time I use Volumio, I am not coming from update).
First time, I went directly to setting/network menu to setup Wi-Fi (which failed but anyway I am not sure that my USB WiFi card is really working) and then went to activate spotify service. At that time, any special character of password would not be correctly reflected in spopd.conf file.
I did reflash sys image, and went straight to activate spotify service before doing anything else. I did reboot and was then thinking about manually editing spopd.conf to add correct password, but password was already ok and service running.
It might be easy to reproduce this bug. For info I am using Raspberry Pi B+.