Smart thinking there.
And I found something interesting out: I played all the time windowed to have a look at the CPU %. Everything went okay, so I put on the sound... still everything was ok. Then I changed the native mode from "windowed" to "fullscreen" and BAM.... Sound and CPU % get up.
(I had ticked "dont use RGB overlay" to play btw.)
EDIT: I also played now without sound but with fullscreen. CPU gets here way up too.
So, I know now when the CPU problems come but I dont know why?