Well, I will answer to myself in case someone has the same question.
I went through the code and it appears Mycelium use theirs servers to calculate a live optimal fee, based on transaction pool I guess. The fee setting is now a n-blocks confirmation target, based on this heuristic.
The endpoint is this one:
curl -k -X POST -H "Content-Type: application/json" -d '{}' https://mws2.mycelium.com/wapi/wapi/getMinerFeeEstimations
The problem is the interface doesn't allow to see the fee in advance, so we can't see exactly how much we will pay.