I have managed to duplicate what you found, Pol.
Here is my picture:
Saved with all metadata selected and uploaded to the gallery, but no metadata shown in the gallery.
Windows XP Picture and Fax viewer, for example, can't display any exif data from this image either, though Photoshop CS4 and Bridge CS4 can. So there is some degree of incompatibility introduced by Save for Web in PS, despite the new option.
There could be a fix for the gallery if an update to the module that does the exif data is available. I'll have a look.