In my project I need to measure an analog signal from a control board (signal between 0 and 5 V).
This board has a ground reference on the phase of power supply (220V).
I assume that control signal is "safe" and fully-isolated from 220V? (The ground does not have to be isolated, but the "hot" 220V DOES need to be isolated!!!!)
Yes, you need the ground reference, and it's OK to connect the Arduino's ground to the control board's ground and/or to your house-wiring ground.
For example, when you measure voltage with a voltmeter there are two leads and both wires need to be connected to get a measurement. The black lead on your voltmeter is the "ground" or reference and in order to measure the analog voltage, that black lead needs to go to the ground on the control board. If the black lead is not connected, or if it's connected to a different/isolated ground, you won't get a good reading. (The ground on the control board is likely connected to the 220V ground already.)
The internal low-voltage ground is often connected to the 120/220V ground, but it's not always required. (For example, the signal grounds on a stereo amplifier are often connected to "earth ground" through the power cord.)