Is it possible to create a social network like Facebook where users can allow or not users to see their profile.
Yes, with CB Privacy.
Is there a possibility to change the group (in joomla config) of two users when they accept the "connection"
E.g If a user A accept a connection with a user B, theses two profiles are "locked" (put in an other joomla group and other profiles can't interract with them).
No, but you can set their private to only allow profile access from a specific connection type using CB Privacy. As for placing them in a Joomla usergroup yes you can do that when a connection is accepted using CB Auto Actions.