Ok I found the problem and it's a problem linked to the dependencies of your project. Play 2.2.0 is delivered with a dep on XercesImpl 2.11.0.
In Play.Scala line 45, there are these lines:
SAXParserFactory.newInstance("org.apache.xerces.jaxp.SAXParserFactoryImpl", Play.getClass.getClassLoader)
...
// new line in play2.2.0
xercesSaxParserFactory.setFeature(XMLConstants.FEATURE_SECURE_PROCESSING, true)
So if you have another library in your project that depends on an older version of XercesImpl (as in my case), the classloader may use an older "org.apache.xerces.jaxp.SAXParserFactoryImpl" which doesn't support "XMLConstants.FEATURE_SECURE_PROCESSING".
You should analyze your deps and try to find the dependency responsible of the problem. In my case, it's tricky because this is an old, no more supported library and it requires an old Xerces... not an easy solution :(