Thank you for your reply, everyone!
@MK_er you are right, with commercial yarn there was no problem so far.
The Knittax - as far as I know - doesn’t need any weights. I’ve read that somewhere some years ago and I’ve also observed that no historical Knittax comes with weights. Please correct me, if I’m wrong 
I’ve got the Phildar pretty recently. Therefore it’s still in the cleaning process (the needles are working fine, so I think after I’m done with cleaning this weekend or so, it shouldn’t be a problem working with it). However, what I can say about it is, that the inbetween lengh of the needles is 4mm, the tension can be adjusted up to stage 12. For reference, the Knittax has an inbetween length of around 5mm and the tension can only be adjusted up to stage 10. The Phildar is a double bed, the Knittax is a single, but I have the so called PSG (Patentstrickgerät in German) for double bed simulation.
And yes, the Knittax is clean, oiled and maintenanced for the last few years. It was in a pretty good shape when I got it. I’ve already used tension stage 8 and 10. I’ve observed the same problem on different needles.
Regarding the needles: You might be right, maybe there is a problem with them and I just can’t see it with my bare eyes. I will test more rows with my hand spun and report it here.
I’m also suspecting that there might be a problem with the wool itself, since it’s a bit rougher. I still have Texel wool lying around, so that would also be a test subject that I’m going to report it here.
Also, I found one single post on another forum that mentions the same problem. It seems to be a common problem, but not impossible to solve. The first step would be more achieving more consistency. The second is using more carefully the paraffin wax.