Source Alpha is the default setting of a brand new video track.
If for example I turn it to "burn", all the underneath tracks change their look... even before putting something on the new "burn" style level.
I expected to see these changes only under footages sections loaded in the burn style track... not for the whole void track...
Do I miss something?

These compositing modes calculate new pixel values between an upper and a lower track. Dependend on the math used (e.g. every multiply or division process) the lower track would certainly be influenced even if there is no video on the upper track because it sends value zero to the math used.

ok. Thanks Marco, now it's a little more clearer...
So... if you want to realize complex videos (such as a music videoclip) with different styles and effects within the same Vegas project... how you can manage this?
It's very hard to realize all you have in your head, adding new tracks during the creation of the videoclip in order to add new effects... and alterate all the previous work you have done in the timetable...!!!
Is it a common way for such complex realizations to divide the project into separate ones and merge all the rendered sections in order to get the final result?
I just wanna understand this...

Thank you

Did you try transparity on event level? 
Through cutting in that event you can use it also for just that part of the event.