A) is that true that at boot Serial has to be disconnected?
Not exactly, if you're careful about what is communicating with what and when. That you protect against multiple things driving the same connection, etc. And you don't mind being very confused a lot of the time. And that you're holding one board in reset while the other is being programmed.
B) is there a way that 2 MCU can be connected at all times, including
reboot when needed ( such as power failures ) ?
If you don't have a compelling reason to avoid it, you may be better off using I2C between the two of them. Then your serial is left alone on both boards to behave as it normally does. You don't need to sort out conflicts between boards trying to use serial to talk to each other and trying to use their serial transceivers to talk to the host and the conclusion that results from the host and both boards all see traffic from different things. And you have an open collector setup between your two boards which makes independently powering them somewhat less of a problem.
If you do try to use the Pro Mini and ESP8266 USARTs connected together, you should have some series resistance in the connection between the FTDI (or whatever) TX signal and the RX on the Pro Mini. Or between the Pro Mini RX and the WEMOS TX. In other words, anywhere you have two pins driving what would otherwise by the same node in the circuit, you need some current limiting in case they drive in opposite directions, as will happen if you connect their serial connections together. If you look at the Wemos D1 mini schematic or the Arduino UNO, Nano, etc schematics you'll see they've inserted some resistance there for that reason. If you look at the Pro Mini schematic you'll see the FTDI TX line is connected directly to the AVR's RX.
Below you asked why you would need the FTDI connection. If you're not programming the Pro Mini and not using it power the Pro Mini, then you don't.
However, if you're thinking you're going to be able to program the Pro Mini using the serial transceiver on the Wemos and the connection between them, that isn't going to work. The Wemos serial transceiver's TX would be connected to its ESP8266's RX, which would be connected over to the Pro Mini's TX (not RX) because project is operating normally it needs to receive data from the Pro Mini on that pin. Allowing the Wemos serial transceiver to talk to the Pro Mini's RX would require you to wire it in a way that the two boards couldn't use their USARTs to talk to each other. The two usages are only compatible with two different wiring schemes.