Here are the instruction of the front derailleur, just to make sure that you understand what piece I'm talking about (I'm not good at properly defining things like that). By the way, bikes' a 2012 Scott Metrix 40, 1 month old.
My derailleur wasn't properly calibrated anymore, so I turned the fixing bolt of the front derailleur ( they call it "wire fixing bolt" in the manual, in the third section) and tried to adjust things properly and put it together the same way it was. However, now, the wire fixing bolt is loose, whatever I do: I cannot tighten it enough so it could hold the wire as it becomes loose again. As a result, the wire is loose and nothing can hold it in place.
What should I do? Should I insert a nut to try to tighten everything together? I've seen that there were some blue Loctite on the bolt itself... did I broke something and will I need to buy those pieces again?
Did you forget the nut? You should have a bolt and a nut. The bolt holds the wire in place against the nut. Usually it is a specially shaped nut.
Meaning bolt, nut, wire, and finally the derailleur body.