1) When I want to sell bitcoin through a Bitcoin Exchange, do I have
to transfer the bitcoin to a Bitcoin Wallet created by the Exchange
and related to my account on the Exchange, or I have just to "connect"
my Bitcoin wallet to the account on the exchanger?
You'll have to transfer the bitcoins you want to sell to the wallet of the exchange. Each exchange implements a bitcoin wallet for every user within their system, and you can transfer money in and out of this wallet as if it were yours - please be cautious about storing large sums of bitcoins on the exchange wallet, because most exchanges have the private key of this wallet and could do whatever they want with the money on it. You have to trust the exchange to store your bitcoins.
2) And when I will sell the bitcoin, the transaction will be displayed
on the Blockchain right? But can this transaction be identified as a
transaction made on a Bitcoin Exchange or not? (So that someone can
know that I've just sold my bitcoin through an Exchange).
Since it's a bitcoin transaction, it will appear on the blockchain. A third-party can't tell it came from your specific exchange wallet. A third-party can probably only tell it came from your exchange, but can't tell it came specifically from you. Only the exchange knows you sold those coins. Obviously if the exchange database is breached (hint: NSA) then they can tell that you've sold those bitcoins.
3) Last question: It would be a good idea to access to a Bitcoin
Exchange through a proxy chain (Or just a proxy server) to gain more
Not really. The exchange has your bank information and knows your identity. They don't expose the information to the public as I said earlier, but if someone gains access to their database, they can still tell that you've sold those bitcoins. Therefore accessing the exchange website through a proxy won't gain you much anonymity because they still have your banking details and know who you are.
I understand you're trying to sell bitcoins anonymously, but with the current way exchanges work (they need to prove your identity) this is actually quite hard to achieve. At least full-anonymity. If you're just worried about a third-party seeing that you've made a transaction, it will be quite hard for them to understand your identity unless they have access to the exchange database.