I found it.
I must use version 6.6.4-Q16 and not 6.9.9-27 Q8.
Version 6.9.9-27 Q8 failed to create 8 bits single channel.
The MagickWand interface is a new high-level C API interface to ImageMagick core methods. We discourage the use of the core methods and encourage the use of this API instead. Post MagickWand questions, bug reports, and suggestions to this forum.