OK I made the following steps:
Under my OS3.9 installation:
0. I backed up my S-S
1. I putted abs.exe inside C:
2. I run abs.exe from CLI
3. White selector screen appeared just fine and via F1 I setup the label "AmigaOS 3.9"
4. Then I presed ESC and I was in my main screen.
5. I checked and Startup-Sequence wasn't changed at all
6. I copied my former S-S to S:AmigaBootSelector/AmigaOS 3.9.abs replacing the already 0 bytes file
7. I edited my S-S putting only the commands C:abs.exe and Execute S:Boot.abs as the example.
8. I rebooted
9. I get an xec.library fail return code 20 and stay in a CLI screen.
Ok I fixed it... It needed C:SetPatch NOROMUPDATE QUIET
Maybe it's an OS3.9 issue or a Deneb issue since I have already loaded exec.library from OS3.9 BB2
Since SetPatch solves the issue... we're ok
Now it works just fine