Thank you for your help.
I updated with the last version of NGUI. I check the example scene (I assumed you were talking about NGUI/Examples/Scenes/example 04 Controller Input), where I see it works alright.
But in my scene, the button is called by a "Dialogue Manager" object, related to the plugin Dialogue System for Unity (that I use with a NGUI UI, and it's working great overall). I noticed today that if my dialogue has only one answer possible, the first and only button is selected (with the right hover color). But if there are multiple answers, the first one is selected but without hover color. I looked at every possible tuning of the Dialogue system, but couldn't find anything, so my hope was to force the hover color on the first button when the object is activated, but I don't know... What do you think?