Can you attach your *.sldprt file here?
If you convert this to a sheet metal part, you have the option to create a normal cut and also link it to the thickness.
This isn't a Sheet Metal Compatible design and would be made in a stamping process during manufacturing. There is a chance that you could use the Swept Flange Feature, but you would need to leave a gap and a center hole...
Laurent, I'm not sure if you can use this same approach but I tried what your asking for using the "Wrap" feature and it seems to do what you want ...
Holes on a flat plane (Not normal to the surface)
Same sketch used, but used the "Wrap" feature instead with a Deboss to extrude through the material ... (Holes end up normal to the surface)