Ok so here is my problem:
When I plug the SD card from my camera into my PC an start importing the RAW files Lightroom can't find the photos after finishing the import (look at the added screenshot). After telling Lightroom where the files are located everything works just fine.
Thanks for your help!
Where are you importing to? Carefully check the destination setting in the import panel. Do not use Add when importing from a card.
I found the solution. Lightroom didn't knew if it should copy, copy as DNG or move the files because I didn't choose one of those options in the import panel.