Nope, I didn't have the Microsoft Loopback adapter installed. Did so, retried, but without success.
Also I have TeamViewer (remote desktop software) running. Closed it, retried, but again no luck.
Retried with Chamsys Magicq - to check if the setup was correctly - this works fine, but I am not sure if Chamsys is sending pure ArtNet (besides in the options I can explicitly select Capture as visualizer)

Oh right, I also disabled Avast Anti-Virus and my firewall.

Any other options?

YESSSSSSSS, it works.
Make sure you use an IP Address in the 2.0.0.xxx range and it seems to be working!!! Seconds after my lst post suddenly everything kicked into gear! Pffffieuw. Good luck, guys.