How do I Drill a vertical hole on a curved surface while leaving space for screw head to enter ? ( in catia)

Make a sketch of the hole profile (similar to your attached picture), and use the Groove command to make the hole

I don't know Catia, but Jack's answer sounds good. In SOLIDWORKS it would be called a revolved feature.

I dislike using revolved features unless there is no other reasonable option.
I'd create a reference plane above the curved surface, then either use the Hole Wizard feature (in SOLIDWORKS) to define a counterbored hole. Or I'd make two separate features, both of them simple cuts with a circular sketch. One the drilled hole, the other the counterbore for the head

what is there to dislike about revolved features? I use them all the time, but typically not for simple features like holes.

Create a point on the surface where you want to put hole. Then create a plane tangent to surface at that point. Then run hole command. That is all.

My go-to for features like this would be to install a feature targeted surface. (i.e. offset from the bottom flat surface of your part) and do a simple extrude cut through all.
There might be more feature conservative methods, (like the revolve cut) but I find if I get tricky on my construction, one of my coworkers messes things up doing a simple revision. (LOL)