Solved. Don't know what it was, but now everything works. Perhaps some dust in the connector slot...
This is really awesome - USB, sound, ethernet, VGA out just work fine. DVI does not, rest was not tested until now.
Hot docking works fine, hot undocking makes the mouse go crazy (the trackstick as well - interesting, as it does not react on input in my setup). With undocking in sleep mode, everything is fine
Welcome to the next level of OSX - is there a macbook with a dock?