I would like to know if gnuplot license allow to make open source plugins for closed source programs, like it is permitted by LGPL.
I don't really understand what scenario you are describing. Do you mean using gnuplot itself as a "plugin" for something else (probably OK)? Or do you mean adding a non-free terminal driver to gnuplot (the old PDF terminal is an example of that)? Or are you thinking to grab pieces of code from gnuplot and stick them somewhere else (probably not OK).
I mean modifying gnuplot to make a dll adapted to a program which dynamically would link to it. Please look at this post, a user of SMath is interested in making such a plugin:
Making gnuplot into a *.dll or other shared library is just not going to happen. It wasn't designed for that and the amount of work required would most likely exceed that needed to write a tailored library from scratch.
Fortunately, it isn't necessary to do so. It is not hard to drive gnuplot via a pipe, and in fact this method is used by lots people for web applications and by large programs like Octave.