Thanks jcl, I found a solution for this;

In Object Properties for the light: HiRes = checked.
If I use in the Map Compiler Create Meshes = checked, then I must set the Mesh Size = 0 in the Map Properties, else it looks like the picture in my first post again.

I also asked why there was no dynamic light comming from a model.
I solved that by switching to the gxl2dx8a.dll and back to the gxl2BasDx9a.dll.
After that there was light comming from the model, I have no idea why I had to do that.

Now I only have a problem with good looking shadows using a static light. The edges look like a stair.
Is there a solution for that?