I am the only one...? can someone else let me know if it's the same on their side ?
You're not crazy. In the world of Flash, fonts can be rendered either by the OS ("device fonts") or by Flash's text engine ("embedded fonts"). Device fonts are slightly faster, and match the look of the host operating system, but embedded fonts are more powerful and look consistent across operating systems. On Windows, device fonts frequently look aliased.
I've forwarded your message to Mr. Font Embedding on the FC team. In the meanwhile, here's the documentation about font embedding in Flex (warning: written for programmers):
Adam is correct. Catalyst displays type on the artboard using device fonts which are not always ani-aliased on Windows. However, you can check the "Embed fonts" checkbox in the "Publish to SWF..." options dialog when publishing your SWF. When you open your SWF in a browser you'll notice that your type is properly anti-aliased.
FWIW, device font rendering has imporved in Windows Vista and 7 over XP.