Is that possible to have multiple LC policies at Sharepoint?
On the Sharepoint side I go to the Site Configuration and define there the policy that I want to use. What I'd like to know is if it's possible to define multiple policies, so the user can choose which policy he/she wants to apply.
No, this is currently not possible. You will have to update the names of Policy and PolicySet in the site settings if you want to apply a different policy.
Yes you can create a custom process to apply a policy. You would have to extend Sharepoint to list available policies to allow the user to select or if they know the policy pass it as a parameter.
