I found where is this ArrayObject class, it was in a phar file like box.phar, and in a vendor package of the box project.
To avoid that, I added in my settings:
"files.exclude": {
/**
* Avoid to index PHP files in PHAR else
* it could cause issues with intellisense
*/
"**/*.phar": true
}
FYI, I needed to reload my VSCode to see that it fixed my issue.
Thank you for your help, you can close this ticket, and sorry for the noise.