I just fixed the development version (1.4.0.4) to fix the post format link issue. http://downloads.wordpress.org/plugin/polylang.zip
Great. Just downloaded and installed it. Works fine so far.
There is currently an incompatibility between the Twenty Fourteen Ephemera widget and the "The language is set from content" option. So I suggest that you choose the option "The language is set from the directory name in pretty permalinks"
Done. Now headers are displayed as expected, and links to archives work too.
You must translated the featured tag and use the translated "featured tag" for your secondary language.
Done. Now it works.
Did you add the language switcher in your Italian menu?
Doh! My fault. Added it again and obviously it works.
Many thanks for your invaluable help.
One last question: I've seen that when I edit a post in a language, (say English), and try to add an image, I can't see in the media library images I already used in my other language posts. Do I have to upload the same image again, for the other language?
Not sure if this behaviour is intended or not, but it seems uncomfortable to me, since I plan to provide translations of my posts and don't want to fill my uploads dir with duplicates.