Miss read the doc. TenantProvider need to be an object in the EntityManagerSetting.

Map map = new HashMap();
map.put(PropertyNames.PROPERTY_MAPPING_TENANT_PROVIDER, new MyTenantProvider());
final EntityManagerFactory entityManagerFactory = Persistence.createEntityManagerFactory("APP_UNIT", map);

So far TenantProvider works with JPA, remains to understand why TenantReadIds on the EntityManger doesn't...
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Stephane