Hanno Stamm, while I have no experience with your make and model of watch, two options come to mind.
there might be a special setting on your watch to allow to transfer pulse over bluetooth. Did you check you watch’s manual to confirm that you did everything correctly?
your watch may be already connected to a different device (a phone? a tablet?) and has limitations as to how many devices it can connect and talk to simultaneously. Did you use it with another app on another device lately? This connection may remain active even after you closed the app.
I do not connect the HRM to the watch when I am Zwifting. I double-checked. However, I will turn off my phone next time as I am not sure the HRM does not connect to it in the background.