I did more research on that by simulating a lot of test environments. I have discovered more issues in regards to this.
1. The two classlib I was using in my sub EXE were named List and Master. Both are reserved words by VFP. It didn't affect the general good running of the sub EXE but in some cases I had some weird behaviors that are now resolved.
2. When doing another test, I created a long classlib name and that was a no go. If someone knows the maximum lenght of a classlib name, that would be appreciated.
3. In a classlib of a sub EXE, I have added several objects which are sub classed from the main classlib of the main EXE. In the same classlib, I also created another object based on custom. When running the sub EXE, I can CREATEOBJECT() from that object. So, the classlib is found. However, when trying to CREATEOBJECT() from an object, from that same classlib, which is subclassed from the main class located in the main EXE, the program EXE will simply hang.