It seems that the solution previously given does not work anymore:
Does someone know how to add new transformations in using gridfiles *.gsb in QGIS 3.10?
It seems this bug is fixed with the new version Qgis 3.10.2.
In the CRS menu in the "Default Datum Transformations" I got a suggestion to download the transfornation grid I needed (proj-datumgrid-europe-1.5) here => https://download.osgeo.org/proj/?C=M&O=D
Then I unzipped the file to the right directory (C:\Program Files\QGIS 3.10\share\proj). This directory could be located under C:\OSGeo4W64\share\proj, depending on how you installed Qgis on your PC.
After a restart of Qgis, it worked!