I've readed that Adobe added the PWA to Magento.
But on my phone it doesn't create any PWA. Does it do this natively or do we need extensions ?
The PWA studio is a set of tools you can use to build a PWA, unless you do that you will not have a PWA at all. See https://magento-research.github.io/pwa-studio/ for how to set up a PWA.