I did before.
"own_window_type desktop" solve the problem when I click the "minimize all windows" button, BUT conky disappears when I click on the desktop
The others settings, "normal" and "background no" have the same problem, conky dissapears when click on "minimize all windows"
Yes, "own_window_class Conky" doesn't affect and I can delete it.
This is a LXDE well know bug, it's discussed on many distro forum based on LXDE and is discussed at the LXDE forum too.
I deleted the "minimize all windows" button and added a second desktop (I had only one). Now I have a clean desktop when I want...