delete_user_meta : how to delete all the metadata of a given user (witout SQL)

Yes, it does delete the usermeta. Here’s the code it uses:

$meta = $wpdb->get_col( $wpdb->prepare(
                      "SELECT umeta_id FROM $wpdb->usermeta WHERE user_id = %d", $id ) );
foreach ( $meta as $mid )
    delete_metadata_by_mid( 'user', $mid );

There’s identical code in wp_delete_user (for the non-multisite case) and they use the same pattern for deleting taxonomy metadata, post metadata etc. so this seems to be the accepted way, without a direct DELETE.