You can connect them via Bluetooth.  See this link:

https://www.lg.com/us/support/help-library/lg-tv-how-to-pair-a-bluetooth-device-with-your-lg-tv--20152434056974

How are you trying to connect it? Any fault messages?

Hello. As a regular bluetooth device.

I do not receive a message, the headphones doesn't appears in the list of available bluetooth devices

You need to place the Ace in discovery mode. 

https://support.sonos.com/en-us/article/pair-your-bluetooth-device-with-sonos-ace

I did It, (sonos with tue blue light flashing). Also connected some devices to the sonos as a test just in case.

On the other hand, I paired another bluetooth speaker to the TV, and works perfectly.

Well, since connecting to the Ace seems to work, and the connection is initialized via the TV, it would probably be a question for LG as to why it cannot connect to the Ace.

Just as a (perhaps) random comment, make sure your Sonos Ace is updated, too, which appears as a different command in the Sonos controller. I’m actually in process today of updating my Ace, but updated my ‘regular’ speakers yesterday. Not sure it will make a difference, I tend to agree with ​@jgatie , but it wouldn’t hurt anything, either. 

It is not an LG question as I paired some devices now in the TV.

I'm a bit worried that can be related to the feature that allow a soundbar such as arc to Transfer the sound to the ace's, and viceversa.

The Ace connects to a Sonos soundbar using WiFi, not Bluetooth, I’m convinced.