I'm probably missing something silly, here's what I've got so far:

1/ Working VPN, I can ping between the BGP loopbacks on both sides

ping -S 192.168.1.1 10.250.250.250
ping -S 10.250.250.250 192.168.1.1

2/ The BGP sessions come up

3/ "bgpctl sho ri" shows all routes.  But none of them have any flags, not even 
the *=valid flag.

4/ Setting "nexthop qualify via default" gets the valid & select flags, but 
doing a traceroute sees the traffic going of the default gateway instead of the 
vpn

5/ Playing with "fib-priority" in bgpd.conf doesnt' seem to achieve much.

bgpd.conf looks like below :
MY_ROUTER_ID_V4="192.168.1.1"
MY_ASN="64550"
AS $MY_ASN
router-id $MY_ROUTER_ID_V4
socket "/var/www/run/bgpd.rsock" restricted
rde med compare always
group my_remote_group {
        remote-as 64515
        announce none
        announce IPv6 none
        neighbor 10.250.250.250 {
                local-address $MY_ROUTER_ID_V4
                descr "REMOTE NUMBER 1"
        }
}
deny from any
match from any set origin igp
allow from any prefix {198.51.100.0/24 or-longer,203.0.113.0/24 or-longer}
deny to any
allow to any prefix {192.0.2.0/24 or-longer}

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