Thanks for your hint. Sorry for expressing myself wrong:
CWM 126.96.36.199 works just fine, if there's a ROM installed, which allows to reboot into recovery. In this case the keys work properly. This phenomenon only appears, if I try to boot into recovery by myself - turning on the phone with volume pressed. Then it never works on my phone. I just wanted to know, if someone else does have this problem.
Usually I only need it this way, if i got stuck trying a new ROM. So it doesn't matter, if my settings, apps, etc. are lost.
But I figured out, that one can make a factory reset with specific keys on boot time, CWM starts this way and the keys work. I found this via youtube. Right now I can't exactly say, which keys that are. I went back to ParanoidJelly 2.81 which works perfect for me and I don't want a reboot with factory reset. I tried 4 ROMs with Android 4.2.2, each of them wasn't good enought for daily use.
I won't forget this thread. So if I once will have this problem again, I'll post the keyboard shortcuts for others ... just in their case.