I'm new in Unity and wonder what is the best solution to get a level editor.
This level editor is aimed to be for AI, terrain analysis, strategic positions,etc. So I'd like to
put waypoints into it, get line of sight informations (between NPC for example), and more.
My question is = what is the better way : extend the unity editor or do it directly as a game?.
I've read that in the latter, new created objects are not saved.
What you read is correct ... obviously, you could work around that and write your own saving routines - but for what you want to do, I'd say that extending the editor with editor scripts is the way to go. And it certainly gives you all the power and flexibility you need.
Of course, if you want to distribute your level editor, it would probably be better to create a standalone game that acts as level editor ... but that would likely be a very complex and involved project if you want to do it right. Might be easier to ask people to install Unity (which is easy now that there is a free version), and distribute your "level editor environment" as Unity package ... see also: How do I reuse assets between projects?