SOLVED!
I got it, instead of using c4d.EventAdd(),
what I was searching for is c4d.DrawViews().
Now the Slider works interactive. 
import c4d
class SliderDialog(c4d.gui.GeDialog):
    def __init__(self):
        super().__init__()
        self.slider_id = 1001
        self.last_value = None
    def CreateLayout(self):
        self.SetTitle("Slider")
        self.AddEditSlider(self.slider_id, c4d.BFH_SCALEFIT, initw=200)
        self.SetFloat(self.slider_id, 0.0, min=0.0, max=1.0, step=0.01)
        return True
    def Command(self, id, msg):
        if id == self.slider_id:
            value = self.GetFloat(self.slider_id)
            print(f"Real-time slider value: {value}")
            self.UpdateScene(value)
        return True
    def UpdateScene(self, value):
        doc = c4d.documents.GetActiveDocument()
        obj = doc.SearchObject("Cube")
        if obj:
            obj[c4d.ID_BASEOBJECT_REL_SCALE, c4d.VECTOR_X] = value
            #c4d.EventAdd()
            c4d.DrawViews() # That's it
if __name__ == "__main__":
    doc = c4d.documents.GetActiveDocument()
    obj = doc.SearchObject("Cube")
    if not obj:
        obj = c4d.BaseObject(c4d.Ocube)
        doc.InsertObject(obj)
        c4d.EventAdd()
    dlg = SliderDialog()
    dlg.Open(c4d.DLG_TYPE_ASYNC)
Cheers