All the customers are using Jabber for Windows, and I can create a Web client with the Web SDK (I did the whole sandbox), and I'm able to chat between web clients, and I can also receive desktop clients messages to my web client.
Still, I cannot send messages to desktop clients.
What am I doing wrong (Is it my web client, or the windows client being an issue) ?
It's probably your web client. Perhaps you're not opening a chat session, and just sending messages? The chat session keeps track of things that just sending messages would not. For example, the Windows client has a resource ID (user@domain/resource). Your web client should also have one. The resource ID is how the clients direct messages to the right places.