When using a terrain it seems physics engine cannot manage correctly collision.
I used a trick (and it works ;-)

Put a solid block (rectangle) below the terrain:

Side-view:

Terrain _/\_/--\____
Solid [============]

Or put three cubes around the terrain, in order to "pack" the terrain in a
"virtual box":

Top-view:

[cube].....................[cube]
.......|================|
.......|================|
.......|================|
.......|================|
.......|================|
.......|================|
.......|================|
[cube]

Put the cube to wrap the lowest terrain and the highest mountain.
The cubes must be done using WED native primitives.

It works!