So, first of all, thanks very much for your support guys... It's good to see, people helping here
Somehow, I got It almost work now, but only with some weird kind of error.
When I load a RTAS Instrument into an instrument track, for example the Grand Piano Plugin, I can control it now, over my MIDI Keyboard and play the Piano Keys, BUT unfortunately the kinda "hang" as I would press a sustain pedal, although I just hit them shortly and also they sometimes come delayed and somethimes they don't react anyway.
So, there is definetely a connection, the settings seem to be right, but does any of you know about MIDI Problems like that?