Hi Ignacio,
You don’t include the very critical information about your setup that would allow us to offer any definitive answer but here are some observations in the meantime:

1) If I hear the piano through headphones, the sound is always good (I would say fantastic with the first piano sound and others).
The audio signal delivered to the headphone jack by the CP4 Stage is identical to that which goes to the analog audio Outputs. So we can conclude that the problem is post the D-to-A converter of the CP4 Stage (that’s good news).

2) If I hear through amp+speakers (no mixer) is when the problem appears.
Does this mean when you use a mixer, the problem disappears? If so, then the culprit is the input sensitivity of your (yet unidentified) “amp+speaker”, with no description of this device you leave everything to our imagination. I can imagine some pretty inappropriate things with a description that only says “amp+speaker”.
So we will leave an asterisk next to this as the possible cause, because input sensitivity when mismatched with Output Level sounds exactly like what you recorded, although the audio recording has all kinds of people moving in the background and just general ‘room sound’ makes it impossible to gauge what we are listening to, the distortion is easy to hear, but are we listening to a clock radio amp+speaker, or a Marshal stack? You’ll need to identify the amp+speaker, you’ll need to identify the level input it is expecting to receive.

3) Is not a permanent situation: sometimes it goes well for a full day , sometimes it disturbs you almost all the time.
So it is perhaps possible that you have not done any serious damage to your unidentified amp+speaker... but for how long that remains the case is still unknown.

4) If I change speakers, amplifier, cabling, the problem is still there.
No useful information here without a better description of the items you changed from and the items you changed to.
Example, plugging into a home stereo, and then switching to a clock radio ... you can see how that wouldn’t impress anyone... both being wrong, the problem would still be there. The home stereo perhaps not having the input padding necessary for a musical instrument input, and the clock radio not looking for anything beyond a -50dB input would also be very wrong.

5) If I use balanced XLR, unbalanced Jack, or even the headphones output, I get the same problem.
Okay, if using the balanced XLR jack we are confident you are not connecting to a clock radio, but we need to consider just what “amp+speaker” takes an XLR input, very confusing on this end of reading your info... please DO NOT use the Phones jack for anything but headphones (seriously), don’t. The problem is in what you are connecting your instrument to (the jacks are labeled properly and suggest strongly how they should be used. Phones for headphones.

6) If I use another digital piano (roland fp1), no problem at all.
That product you identify, we’ll just take it as your frustration that even a Roland product works... That’s just hurtful, but as you know it doesn’t sound as good 🙂 what is helpful from that snub (maybe) is that we know that doesn’t have balanced XLR/TRS Outputs... so again you maybe ignoring the output - to - input sensitivity function that could be a possible cause of the issue.

7) Tried everything with the levels at the different stages without eliminating the effect.
Gain staging has one proper setup... it may seem like you have tried everything, but I’ve found the best way to troubleshoot a problem is eliminate possible problems in a systematic way.

Here’s what we need to know:
One particular setup at a time. Choose the setup you would use most often and the one you really want to work.

If that is OUT via XLR to your sound system ... let’s start with that setup
If that is OUT via 1/4” TS cables ... then let’s start with that setup
If that is OUT via 1/4” TRS cables... then let’s start with that setup

Choose one.

Then please identify the input jack you are connecting the Left and Right Outputs to (if that is what you are doing) you didn’t even mention if you are connecting in stereo or not. If not which output are you using?

In the end it maybe be something in your CP4 Stage Output jacks (at this point we still can’t 100% eliminate this from the list of possible causes) it is possible to damage the analog Outputs of any product by plugging in the wrong component even if for a moment. I could tell you nightmare stories about what gets plugged into the OUTPUTS of some keyboards... if you didn’t see smoke or smell electrical components you’re probably good...

Let us know.

Thank you very much for your reply, bad mister. In order to put a short message, I didn't include important information as you say. My main setup, which is what I think should work well, is to use the XLR outs of the CP4 and with appropriate cables, feed them to the jack balanced inputs of my Samson Servo 170 amplifier, which has a pair of DAS audio Factor 8 speaker attached. Of course it is a stereo setup. The cabling is at it should be, I mean, I am 100% sure that pinout is appropriate for balanced signals. When I said no mixer, I mean that I never used a mixer. I don't have one, so I couldn't check. Only after having problems I started in a systematic way (I think), to test if a single component was the reason for the problem. So I changed the cables only, without success. Then I changed the speaker, same result. Then I tried with my home stereo amplifier ( a yamaha home cinema amplfifer in fact). I know this last was not an adequate one, but I was only interested in test if the same noises were present. During these test is when I also tried other CP4 outputs to see if it is related to a particular output only. In all cases, I used stereo. I even changed the pan control in the CP4 lo see how he problem is affecting the left and right channels, and I can tell you that sometimes left fails, sometimes right fails and sometimes both fail. In some cases the failure makes that some notes even don't sound at all.
Thanks for any additional input.

I can not locate a manual for a Samson Servo 170

If I were you, I’d call Samson and find out if what “appropriate cables” means... are you saying the Power Amp has XLR Inputs? I read what you wrote and I can’t tell what you mean. Or are the “appropriate cables” XLR-to-TRS?
Since you don’t have a mixer, is there metering on the power amp? What does it read when the problem occurs?

Is the problem drop outs or crackling?

thank you again.
cables are xlr (cp4) to trs ( samson amp). sorry, no metering. see the samson amp manual at
https://www.manualslib.com/manual/143819/Samson-170.html

Thanks, don’t know why I couldn’t find that. There is a peak light... that’s a meter function. Pay very close attention that this does not light up steady while you are playing. A peak indicator should only flash on the absolute loudest event you are going to play. It comes on when you are just short of Clipping. If your amp clips it can damage your speakers (they have no choice).

If it lights you are very close to clipping... which will sound like crackling, if you put your amp in danger it will go into “protection” which will sound like the sound dropping out. You have described both issues...

Please observe these “meter” functions closely as you play your instrument.

The reason many musicians opt to buy a mixer is to prepare the signal for amplification. Mixers have inputs that are designed for a wide variety of input signals - and may provide critical padding so your amp does not clip due to transient peaks. Clearly the manual welcomes Synthesizers and direct input from such devices... if the metering functions are lighting then it explains the issue... if they are not flashing, then we highly recommend either trying another system (not your home entertainment system... which definitely does NOT recommend input devices like a synthesizer).

If you don’t have any other pro gear to test it, take it to your local music store and see if they can test the amp for you.
Of course, we still have not eliminated the CP4 Stage Outputs being damaged. But it might be easier to take the amp, then the keyboard.

If you have a friend with a mixer, plug the audio Outputs of the CP4 Stage into two channels of the mixer, panned hard left and hard right, then plug your headphones into the mixer and listen for any issues. If none, then you can eliminate the audio Outputs of the instrument.

Let us know.

Hi again,
no signal clippingat all. Peak light is never on. I managed to test with a small behringer mixer (QX602). It worked for a while.
I admit I thought the problem was fully solved ( too easy). But remember, I told you is not so easy. After 30 minutes or so, the issue reappeared,
The mixer has also led vumeters, so I could check again that the levels were OK. I connected my headphones to the headphones output in the mixer, so I could monitor the signal there, and the good news is it was OK, while at the same time was bad in the speakers. That suggest me that the problem is in amplifier/speaker system. I will try the setup in the studio of a friend, and expect to conclude.
Thank you very much for your help

Excellent... let us know if we can help.

Just to tell you the end of the story, I discovered that the problem was an internal protection relay inside the Samson servo amp, that makes a bad contact due to corrosion. I just shorted the relay and after several days, everything works well and my problem disappeared.

Awesome!