Well, I found this useful forum post:
https://web.archive.org/web/20200211180001/http://git.661346.n2.nabble.com/No-quot-pull-quot-in-git-gui-td1121058.html
A fetch and merge should be done.
It seems you need to go to “Remote” menu, then “Fetch from” option , in my case origin, and then go to “Merge Menu” and then “Local Merge…”.