I eventually found a work around, allowing to circumvent the time-out (error code 110) of Koji. The work around consists in forcing the "authtype=noauth" option:
 cat /etc/koji.conf
 ;configuration for SSL authentication
 authtype = noauth

Now, when trying to build from Fedora checked-out directory, I get the following error:
$ /usr/bin/koji  build  dist-6E-epel 'cvs://cvs.fedoraproject.org/cvs/pkgs?rpms/R-msm/EL-6#R-msm-0_9_1-2_el6'
GenericError: task must have an owner

And, trying with the -d (debug) option, in order to get the Python call stack:
$ koji -d  build  dist-6E-epel 'cvs://cvs.fedoraproject.org/cvs/pkgs?rpms/R-msm/EL-6#R-msm-0_9_1-2_el6'
successfully connected to hub
Traceback (most recent call last):
  File "/usr/bin/koji", line 5077, in <module>
    rv = locals()[command].__call__(options, session, args)
  File "/usr/bin/koji", line 796, in handle_build
    task_id = session.build(source, target, opts, priority=priority)
  File "/usr/lib/python2.6/site-packages/koji/__init__.py", line 1468, in __call__
    return self.__func(self.__name,args,opts)
  File "/usr/lib/python2.6/site-packages/koji/__init__.py", line 1718, in _callMethod
    raise err
koji.GenericError: task must have an owner

Note that I have imported the CVS-checkout package with 'fedora-cvs R-msm', and that all went well.

If you have any idea, do not hesitate.