I mounted it now 'the other way around', that is first the brass pipe, then the nozzle tight against the pipe, leaving a small gap between the shoulder of the nozzle and the heater bloc.
This is definitely a better that way -- although it never happened to me, quite some people broke the brass pipe when tightening it and it is more easy to tighten the nozzle which an hex tool.
I have printed for 3-4 hours in this configuration, no leaks at all and I don't see an adverse effect on the temperature side.
The nozzle gives a very nice surface finish; top layers on a 20% infill are very nice as from the 3rd layer with the infamous Ultimaker blue PLA.
Apart from that I am still having crappy prints, nothing to do with the nozzle: I have a quite some play in the linear bearings generating some artifacts on the walls, and under-extrusion kicks-in from time to time

For the last one, I suspect a problem with the thermocouple: when the printer is idle temperature is very stable, but when the print starts temperature jumps in a +/- 5°C range. I suspect a bad contact somewhere, bur can't find it...