This seams a bug.
After many readings I think that I have a solution.
As an admin you have to
1) Enable self inscription plugin at site level
"Site administration / Plugins / Enrolments / Manage enrol plugins"
Self enrolment has to be enable (eye open)You can add instance to new course too if you like Allow self enrollment to YES
2) For any course you have create
Go to "Course administration" then to "Edit settings" and set "Allow guest access" to "No"
Then go to "Users" / "Enrolment method" and select "Self enrolment" (eye open)
Then edit "Self enrolment" (writing hand) ans set "Allow set ereollment" to YES
You can set a enrolment key too...
Nota Bene : you can't get "self enrollment" and "Allow Guest access" at the same time. I think it is a bug...