Hi philippe12,
First, I would suggest updating to the latest JP5.1.2(R35.4.1).
Yes, you could short PIN19 (SPI1_MOSI) and PIN21(SPI1_MISO) on 40 pins header.
You could also refer to the following thread to verify SPI loopback test.
Jetson Nano SPI Bus Not Working - #10 by KevinFFF
Although it is on Jetson Nano, it should be similar steps for AGX Orin devkit.