Thanks for help. Found the problem, and Solution.
In the VPN Properties --> Networking Tab --> Button "IPSec Setting" I had a preshared key entered.
As a result it only worked by wiring the computer directly to the Cable modem. Why I have not a clue.
Solution was to switch from a preshared key to "Use certificate for Authorization" (and enabled "verify the name and usage" then it worked through a router then.
Why again I have not a clue. But it sure was strange and a pain in the A$$.
Thanks all,
Robert