Problem is, I can't delete these files with WinSCP (only by directly accessing the server), I always get the error message, the syntax of the filename was wrong.
I tested with all WinSCP UTF-8 settings Auto/On/Off but with no success. In the deletion command with UTF-8 off WinSCP seems to replace each Umlaut with a Question mark. When I turn UTF-8 on, some (not all) of the Umlauts are converted to two question marks in that command. Whatever, both commands fail.