Nobody answers to the support even being Platinum (It has been 2 years since I have no answer. Yet loyal customer since 2005), I hope that it nevertheless looks the forum. 
Still no velocity fix with the pencil tool. I would like to hear my changes in real time, it does not have to be hard to do other DAW do.

What can you describe exactly what are you trying to do? In this update we have some updates for drawing note velocities using pen pressure with the pencil tool.

Hi BlackBird,
 
If I understand you right, what you're looking for is a repeating note audition (say, 2-3 times per second) any time you are editing a note's velocity.  Is that right?
 
~Bob

Hi Bob and Noel,
let me explain. When you change the velocity of a midi note in PRV with the pencil tool (or directly in the controller panel), you see the velocity increase or decrease, but you do not hear the result note in real time. Failure to hear the modified midi note is bothering and wasting time in the workflow. Same for the Drum Panel and Step Sequencer.
 

So you are saying that when you expect the note to be re-triggered when its velocity is changed when editing just the velocity? So dragging in the controller pane could retrigger the notes with the new velocity I suppose...

Yikes! If you do implement that, please disable it when more than one note is selected.

I do not think we understand each other. When I modify with the mouse the velocity of the note midi, I would like to hear the modification live to know the result. Today, you change the velocity of the midi note you hear nothing, it is necessary to click on the note to hear it.

Right because clicking the note retriggers it. So you are asking for a change in the velocity to trigger the note again.
Unlike channel messages like MIDI CC's, Velocity is a per note property so you will not hear the effect unless the note is retriggered.

I can't imagine why you would expect to hear anything when you change a MIDI note velocity.

Just loop a section of notes - hit "play" - edit your note velocities - and you'll hear them every time they come around in the loop...

check preferences-Customization-Editing-Velocity audition
you will see the smart tool change when your mouse point at the top of a note in PRV,drag it up and down and you can hear the velocity change live.