Of course jlliagre.
I first tried with
nohup VBoxHeadless -s winsrv2003 &
and when I exit the shell the shell waits for the VBox process to terminate. If, for example, I shutdown the VB from an RDP connexion, the shell finally exits. The same thing happens if I try with
nohup VBoxManage startvm winsrv2003 -type vrdp &