Herve,
With NT client and the following:

EXClude *:\...\*

I get the following:

ADSTAR Distributed Storage Manager
Command Line Backup Client Interface - Version 3, Release 1, Level 0.7
(C) Copyright IBM Corporation, 1990, 1999, All Rights Reserved.

dsmc> q inclexcl
Node Name: ROLPHS_PC
Session established with server ADSM: MVS
  Server Version 3, Release 1, Level 2.40
  Data compression forced on by the server
  Server date/time: 01/18/2000 08:12:36  Last access: 01/18/2000 08:08:51

Mode Function  Pattern (match from top down)
---- --------- -----------------------------
No exclude directory statements defined.
No exclude directory statements defined.
Excl All       #\...\*
dsmc>

I don't think NT include and exclude statements work like other clients
statements do.