Ok Frederic, you need to update the software on the ROV (ArduSub on the pixhawk, and companion on the Raspberry Pi). You will need to do the update according to the instructions here.
After the update, you will see the frame tab in QGC, and the depth sensor should be automatically detected.
The communication issues and heartbeat lost are unrelated to the updates. It sounds like a physical connection issue. Please make sure that the topside Fathom X tether interface board has sufficient power, and that the tether conductors are well-seated in both the topside and rov Fathom X boards.