quick update hoping this can help anyone:
Tried to create a new char on a American Datacenter and the game actually works, got double the latency but non lag and disconnection as for the European Servers.
Try to do some ping test with the IP used for the ffxiv process, the European IP lose some packets the American one does not lose any packet.
Then I tried the VPN client some user talked about in this topic (exitlag), using that I've managed to play the game.
So, could be a problem with my ISP (fastweb in Italy) or could be a problem with Square Enix servers, some routing not working as it should maybe.... don't know.

bye