This follow-up is to thank you all who replied and mention the
solution (what is good for the history). I forced binding to the
correct IP address declaring neighbor's local address, and added a
static route to the box, instead of using the default one, although
they were nexthoping to the same address.
Finally I removed the "passive" keyword. Now its OK with the first BGP
neighbor, I will setup the second tomorrow morning but probably there
wont be any other problem.
Thank you all and thanks for OpenBGP. Way simple, functional and much
better/clearer than cisco.