I had to kill the Dragon from Ancient ascent through a quest but I didn't get any word from the wall. Also the I didn't get any Dragon soul... Any idea why ?

The lack of getting the dragon's soul means you probably killed that dragon already and it respawned. If you pass close enough to a word wall from a nearby road/path or even wilderness the dragon will swoop down on you so this may have happened.

As for the Word of Power: you're sure you've never been there before? Did you go through Bonechill Passage or did you hop up the mountainside? IDK for sure if hopping will bug it out, but I could see there being difficulties getting certain triggers to activate if you arrive somewhere by 'unconventional' means.