Thank you all for your help. I finally found what my problem was.
Gentoo is compiling Cyrus-sasl with option:
So, my configuration file needs to be /etc/sasl2/slapd.conf. When I
put that in place, I thought it should be /usr/lib64/susl2/slapd.conf
which, of course, was not taken into account.
Everything is working fine now.