when i create an expansion joint i set data in E_J windows (axial stiff, trans stiff, bending stiff, torsion stiff, effective id).

1)
where do i add the EJ weight?

2)
if i don't insert any weight, the EJ weight is calculated as the weight of a pipe having same lenght?

The expansion joint element, in CAESAR II, is weightless.
I suggest you apply added assembly weight to the (rigid) elements on either end of the joint.