According to my observation, this behaviour occured only for geroreferenced JPEG raster.
Even if a CRS is defined in QGIS, this piece of information is not transfered in the command line. (I had also tried Raster > Projection > Assign a CRS, but with no change)
To circumvent this issue, I copied the gdalwarp command shown in the GDAL/OGR command Console (at the end of the windows shown upper), and add the following option
-s-srs EPSG 2154
The full command line looks like:
gdalwarp -of GTiff -s_srs EPSG:2154 -tr 21.16575950653999 -21.16717538698448 -tap -cutline sia_N.gpkg -crop_to_cutline -dstalpha -co COMPRESS=DEFLATE -co PREDICTOR=2 -co ZLEVEL=9 2019_N.jpg /tmp/OUTPUT.tif