Glad the tutorial has been useful to you.
In answer to your questions:
1.why a lot of method is called back and what's call back?
The Wikipedia definition of callback says
In computer programming, a callback is executable code that is passed as an argument to other code. It allows a lower-level software layer to call a subroutine (or function) defined in a higher-level layer.
Callbacks are used in OVM to provide a mechanism for every component to carry out particular operations at certain phases in the simulation, e.g. all ports should be bound to exports in the connect phase. The callback mechanism used in OVM is to provide virtual functions in the base classes that do nothing by default but may be overridden in derived classes if required.
A "factory" is an common "design pattern" used in object-oriented programming. It provides a standard mechanism to produce objects from a supplied pattern. The OVM factory can be used to create an object of any class derived from ovm_object or ovm_component. The create_component function invokes the factory. This is configured by string arguments which can be overriden. It provides a very flexible way of building the hierarchy of components required for the verification environment, e.g. an instance of a driver class could be substituted with an error_driver class before the hierarchy was built without making changes to the low level source code (although the code might need to be recompiled if the error_driver was a new class being added to an existing package).
If you want to learn more about the factory and other useful design patterns, there are a number of text books available. The book that originally introduced these ideas was "Design Patterns" by Gamma, Helm, Johnson and Vlissides but you might find it a little heavy going, especially if you don't have a strong programming background. You might find "Head First Design Patterns" by Eric and Elisabeth Freeman a more friendly introduction.
3.why class my_test can be use without instanciation and new?
That's the way that the run_test task works - it instantiates the test class when it is called.
Hope that answers your questions.