Hello,
I think I have found the reason for the issue and I can reformulate the situation like this:
"the presence of any column after #+LATEX_HEADER: breaks the export if there is no blank space between #+LATEX_HEADER:and the
rest of the line."
This only applies to emacs running on MS-Windows since the absence of space caused not problem with my previous emacs (GNU Emacs 27.2 (build 1, x86_64-pc-linux-gnu, GTK+ Version 3.24.20, cairo version 1.16.0) with Org mode version 9.6 (9.6-??-e7ea951 @ /home/olivier/.emacs.d/.local/straight/build-27.2/org/).

Conclusions
- I should have better looked at section 17.8 of the manual to see that one space is always present after the column and the word
- Maybe the first sentence of this section should be changed like this to stress on this detail:
" In-buffer settings start with ‘#+’, followed by a keyword, a colon, a blank space and then a word for each setting."

Best regards,     Olivier

Le mer. 16 nov. 2022 à 17:58, Olivier <olivier107@gmail.com> a écrit :
Hello,
Changing from emacs on WSL (linux on windows) to emacs on MS-Windows, I had to change in my org-mode files some paths from : "/mnt/d/path/to/file" to "d:/path/to/file/".
Doing this breaks the export to LaTeX. Here is a minimum example org file showing the issue when exported (the lines of codes with columns after "#+LATEX_HEADER:" do not exports to the LaTeX file).

Thanks in advance,  Olivier
#+LATEX_CLASS: article
#+LATEX_CLASS_OPTIONS: [a4paper]

#+LATEX_HEADER:\newcommand{\macroOne}{drive:/windows-path/to/file1}
#+LATEX_HEADER:\newcommand{\macroTwo}{drive/windows-path/to/file1}
#+LATEX_HEADER:\newcommand{\macroThree}{:nothing}
#+LATEX_HEADER:anything:with:columns

* Problem description

This line of code does not export to  =LaTeX=
#+begin_example
#+LATEX_HEADER:\newcommand{\macroOne}{drive:/windows-path/to/file1}
#+end_example
while this one
#+begin_example
#+LATEX_HEADER:\newcommand{\macroTwo}{drive/windows-path/to/file1}
#+end_example
is exported as expected with a line like this in the =LaTeX= file:

#+begin_export latex
\texttt{\MacroTwo}
#+end_export

It seems that the presence of any column (=:=) after =#+LATEX_HEADER:= breaks the export which is an issue on =MS-Windows= for defining paths.
Here is my config:
Emacs  : GNU Emacs 28.2 (build 2, x86_64-w64-mingw32)
 of 2022-09-13
Package: Org mode version 9.5.5 (release_9.5.5 @ c:/Program Files/Emacs/emacs-28.2/share/emacs/28.2/lisp/org/)

current state:
==============
(setq
 org-link-elisp-confirm-function 'yes-or-no-p
 org-bibtex-headline-format-function #[257 "\300 \236A\207" [:title] 3 "\n\n(fn ENTRY)"]
 org-export-before-parsing-hook '(org-attach-expand-links)
 org-archive-hook '(org-attach-archive-delete-maybe)
 org-cycle-hook '(org-cycle-hide-archived-subtrees org-cycle-hide-drawers
          org-cycle-show-empty-lines
          org-optimize-window-after-visibility-change)
 org-mode-hook '(#[0 "\300\301\302\303\304$\207"
           [add-hook change-major-mode-hook org-show-all append local]
           5]
         #[0 "\300\301\302\303\304$\207"
           [add-hook change-major-mode-hook org-babel-show-result-all
            append local]
           5]
         org-babel-result-hide-spec org-babel-hide-all-hashes)
 org-confirm-shell-link-function 'yes-or-no-p
 outline-isearch-open-invisible-function 'outline-isearch-open-invisible
 org-agenda-before-write-hook '(org-agenda-add-entry-text)
 org-src-mode-hook '(org-src-babel-configure-edit-buffer
             org-src-mode-configure-edit-buffer)
 org-confirm-elisp-link-function 'yes-or-no-p
 org-speed-command-hook '(org-speed-command-activate
              org-babel-speed-command-activate)
 org-tab-first-hook '(org-babel-hide-result-toggle-maybe
              org-babel-header-arg-expand)
 org-link-shell-confirm-function 'yes-or-no-p
 org-babel-pre-tangle-hook '(save-buffer)
 org-agenda-loop-over-headlines-in-active-region nil
 org-occur-hook '(org-first-headline-recenter)
 org-metadown-hook '(org-babel-pop-to-session-maybe)
 org-link-parameters '(("attachment" :follow org-attach-follow :complete
            org-attach-complete-link)
               ("id" :follow org-id-open)
               ("eww" :follow org-eww-open :store org-eww-store-link)
               ("rmail" :follow org-rmail-open :store
            org-rmail-store-link)
               ("mhe" :follow org-mhe-open :store org-mhe-store-link)
               ("irc" :follow org-irc-visit :store org-irc-store-link
            :export org-irc-export)
               ("info" :follow org-info-open :export org-info-export
            :store org-info-store-link)
               ("gnus" :follow org-gnus-open :store
            org-gnus-store-link)
               ("docview" :follow org-docview-open :export
            org-docview-export :store org-docview-store-link)
               ("bibtex" :follow org-bibtex-open :store
            org-bibtex-store-link)
               ("bbdb" :follow org-bbdb-open :export org-bbdb-export
            :complete org-bbdb-complete-link :store
            org-bbdb-store-link)
               ("w3m" :store org-w3m-store-link)
               ("doi" :follow org-link-doi-open :export
            org-link-doi-export)
               ("file+sys") ("file+emacs")
               ("shell" :follow org-link--open-shell)
               ("news" :follow
            #[514 "\301\300\302 Q \"\207"
              ["news" browse-url ":"] 6 "\n\n(fn URL ARG)"]
            )
               ("mailto" :follow
            #[514 "\301\300\302 Q \"\207"
              ["mailto" browse-url ":"] 6 "\n\n(fn URL ARG)"]
            )
               ("https" :follow
            #[514 "\301\300\302 Q \"\207"
              ["https" browse-url ":"] 6 "\n\n(fn URL ARG)"]
            )
               ("http" :follow
            #[514 "\301\300\302 Q \"\207"
              ["http" browse-url ":"] 6 "\n\n(fn URL ARG)"]
            )
               ("ftp" :follow
            #[514 "\301\300\302 Q \"\207" ["ftp" browse-url ":"]
              6 "\n\n(fn URL ARG)"]
            )
               ("help" :follow org-link--open-help :store
            org-link--store-help)
               ("file" :complete org-link-complete-file)
               ("elisp" :follow org-link--open-elisp))
 org-metaup-hook '(org-babel-load-in-session-maybe)
 )