Hi @fmelizard,
You can do this by editing the configuration string in the Parameter Definition dialog. Add FME_DELIM:.% to the beginning of the configuration string.
You can change the '.' to be any delimiter you'd like (but ensure it's not present in any of your display or lookup values)
Start with 'Choice with Alias (Multiple)' and set up your configuration using your chosen delimiter value between node levels. At this point, if you use the dropdown for 'Default Value' and click 'Change Selection' it will look like this:

Now, add the FME_DELIM:.% to the beginning of the Configuration string:

You can see that the '.' delimiter has split my configuration values into different node levels and we can now use the tree view.
The % separates different choice options.
The , separates the display names from the values.