Hello Guillaume
You’re absolutely correct, my apologies. Indeed, when dealing with confederations, the best path algorithm does not prefer routes learned from BGP peers in another sub-AS over those learned from BGP peers in the same sub-AS.
After thinking about this a little bit more, I realized the the reason R3 doesn’t learn about the loopback of R1 via R5 is because of the iBGP split horizon rule. Note that R5 has learned about the 11.11.11.11/32 network from R3. Thus, it will not re-advertise that route back to R3. So R3 never gets informed about this network from R5, thus it only has the route via R2 in its BGP table. Does that make sense?
I hope this has been helpful!
Laz