@Sebastien Francheteau,
As you saw, Pentaho comes with the 42.2.5 PostgreSQL jar file and, as that's the supported version, upgrading to 42.2.16 can have different results...
The only thing that you should need to make the Bulk step work, is to set the "Connection" field correctly.
If you already have a configured connection, you can select it; if you don't, you may use the "New..." button to create one.
On the "Database Connection" dialog box, you should have "PostgreSQL" as the connection type and "Native (JDBC)" as access. After all filling/checking all settings (and a name has been given to the connection), use the "Test" button to check if it's working.
So, please check if the right connection is set on the step and if it's operational.
Another possibility that crossed my mind: is the PostgreSQL database you're using an old one? If so, it may be incompatible with the 42.2.x drivers... maybe trying to upgrade it...
Regards,
Sérgio Ribeiro
Porto - Portugal