OK, I've been working all week with MSI Gaming App installed, and I had not a single problem!
A few words on this though. There's no doubt that these kind of apps tend to make more damage than good. I actually use this particular one to control a few things about my GPU. But, when reinstalling, I took a closer look and found a lot of 'garbage', we could say.
I turned off the four automatic tasks that comes with the app on the scheduled task manager, as I don't use the app for any in-game overlay or anything like that. Also, I found a 'driver' folder in the app's installation folder (C:\Program Files\MSI\Gaming APP by default). There, I found a uninstall.exe, so I ran it as I don't want any special driver on my system.
Also, I noticed a process that needs to be running for the app to work. This is 'muachost.exe' and it can be found on C:\Windows\SysWOW64 (it is installed with the app, is not a system file despite the path). I don't know why, but when changing my wallpaper, this exe would cause my desktop icons to start flickering. I replaced the exe with other one that does nothing but keeps running, so the app can run as well.
After those steps, now I have the app running fine and no further problems.
There's only two more things for me to try. One is plugging the second monitor on the Intel CPU and install its drivers. The other one is to install the drivers for the displays. Maybe one of the two are the cause of the black screen, or maybe that thing is already solved.
In any case, I have done step one already. Let's wait for another week and see what happens.
Thanks to all.