I'll give my ideas on a few of the subjects you've raised:
There are three developers and two of them are not fans of the scrum methodology.
Change is scary, and the developers may not recognize any benefits from scrum. They may also have very poor experiences with it, or feel that they'd be expected to churn out product after product without pause. Many companies use scrum and agile for "getting more out of less" which isn't a great way to work. I'd ask what their experiences are, what they feel worked, and what they feel doesn't (a one-to-one retro, in effect).
They do not want to participate in some team-building activities
Neither do I. Some people don't like "team building" activities, and that's OK. If they're like me, they build their teamwork by working together. It's an organic process that shouldn't be forced - I've never known is end positively when people who prefer a purely organic way of team building get forced into team building activities. I have known several people get hostile towards colleagues afterwards, which is something to avoid. Learn the way the individuals on the team operate and give them the room to grow based on that, as individuals.
for scrum ceremonies, they are not motivated at all
I'd look for reasons why they feel this way. Do they think they're getting anything useful out of it? If not, what are they not getting? People don't like having their time wasted and if they feel the ceremonies aren't a good use of their time, that'll demotivate them. How can we set things up so we get out of their way and let them focus on their work?
They even think that scrum and scrum masters are useless. Conversations were not easy with the previous scrum master (who left this company partly because of the team behavior).
This seems like a less than ideal experience with scrum masters in the past. All you can really do is show the benefits of having a scrum master around. Actions are the important thing in life, not words.
My strategy is to keep proposing team building (they need it for sure), keep trying, but not force them.
This should work, but be prepared for pushback and don't take it personally. If the team don't find team building useful, be ready to stop and let it happen organically. Give them opportunities for cross-working and remind them that it's the team that delivers the product, not the individual.
Do you think I should involve the managers since the problem is being opposed to the methodology that the company chose (scrum and agile) and against the company's values? Should the directors and managers intervene?
Only as a last resort, and it feels like you're nowhere near that point. How would you feel if the directors and managers started clamping down on you? Not "how would you feel logically" but emotionally? Don't take any time to think of the answer, because that's not the answer you'd get it if happened in reality.
Remember, people are people, and the aim of scrum is to help people do stuff. It's one way, not necessarily the best way, and if you want to work with a self organizing team that means they have to feel self organizing across the board. If they're directed from above, does that make them self organized?
I proposed some slides to present during the sprint review. In these slides, I proposed to show our work we did during the sprint, so for each developer I proposed a slide where we basically see his/her tasks DONE during the sprint, I just finished the meeting to propose them this new format (before, they had one page slide with the full tasks of the sprint, and randomly developers start to speak..) So my idea is basically to be just a bit more organised, and split by speakers... I get a BIG rejection, this is the argument : NO, this format shows that developer X did more than developer Y and stakeholders will prefer developer X.. My answer: Anyway stakeholders will know what each of you did because even if you'll not have your own page, you will speak from one big list and everyone will know what you did..
Remember, in scrum it's the team's responsibility to deliver, not any one individual's. The team delivers product. No single developer fully delivers something if you've got all the skillsets needed - does the developer also run their own testing? Testing's a huge part of the team. Does the developer write content and messaging? Does the developer do any of the user interface design work?
I got this point but this is the REAL conflict: they still say no even when you give good arguments.
Your role is to facilitate so the team can deliver. Your "good arguments" haven't landed with the team, which suggests the arguments aren't as strong as you think they are. We all get wedded to the ideas we have and need to step back and have that separation so we can take on board what other people say. Never take it personally if they don't like your idea - you shouldn't ever force them into something that doesn't work for them, it'll just make for some very tense situations down the line.