Why the GPS signal error with latest V5.4 software in Fenix5

this happen to me everytime I pass in front of the US Embassy here in my country. With both the Fenix 2 and now with the F5.

Tall buildings are bad for gps reception generally, especially if there's a lot of metal in the construction. Also, a tv transmitter may well be generating enough noise at the gps frequencies to cause position errors by drowning the satellite signals as you go by - it won't be for long, there are strong regulations about interfering with gps reception and the frequency is much higher than tv signals anyway, but could be enough to contribute. Why do you think it was specifically F5 units with 5.40? If you're on Strava, try looking at flybys of your route to see how other devices were doing; if you aren't, go on there anyway and search for the marathon and look at flybys when you've found a record of it. You'll see how other devices do. My guess is everything will be compromised there, though maybe not as badly as your watch.

It's not exactly surprising that close proximity to a high power radio source like a TV transmitter tower might cause interference with the radio frequencies used by GPS.

The power of radio waves decreases with the inverse square of the distance, so you shouldn't have have to move far away from the tower to resume normal GPS reception.