Or if I am confusing things, I would like to know how that graph is obtained, if there is any formula or theory behind the MAKESIG module, to obtain the spectral signature of the training zones from a DN image
The measurements for reflectance in the signature comparison charts are just the data values in the images that you created the signatures from. You can query your input images or look at their metadata to see their data ranges. Yes, some reflectance data ranges from 0-1. But there are some satellite sources that multiply that range by 10,000, to put it into an easier to use (I guess?) range. You can use STRETCH to put that back into a 0-1 range if you'd prefer. In any case, look at the data source for your satellite images. The values you are seeing are what are in the images.