Hey @gil.filiot, thanks for posting and using Zoom!
I am happy to hear you are able to embed Zoom on your website! 
As for changing the Zoom thank you page, try setting the post attendee url to a page you would like to display instead.
If that is not an option, there are some work arounds that you would have to implement yourself:
Or you can use the Zoom Web SDK (which takes some development work) instead of the embedded iFrame where you can specify the leave url.
Thanks,
Tommy