So, it's certainly not a Windows 8 problem, but likely to be a Windows 8 + something else, as only Megamoscha could repo it. I was thinking it was an AMD issue, but seems no to be the case. The weird thing is that this not specific to my applications, but also happen to all DX SDK samples using DXUT.
I'm not sure it could be the shader compilation, the whole system became very unresponsive in my case (to the point I've just to sit and wait for it to finish), and CPU utilization is about 16% (a single thread). I think it's something going on in the GPU. For what I debugged past week, it seems to hang in a EnumDisplayDevices loop.
Many thanks for the help!