I have noticed something : When I create a document, I define one or more approvers. But when they approve this document, workflow status don't turn to "Approved". Is this a normal behavior ?

Yes.
Status are completely customizable, so cannot change to fixed "approved" status.
It is so true that ... there is no "approved" status in default status list 😉
Approval will just check version as approved, but not change status.

In addition, I tried to program automatic email to be sent when approvement is done, but I didn't success in this configuration.
Can you help me please ?

No, I cannot help you : because it is not possible.
Apporval of document is not an event triggered to possibly send an email.