I forgot to mention that it already worked with a tracing in world coordinates.
I actually expected that.

I don't achieve linear depth when I remove the multiplication with the Projection matrix, do I?
You do. When being in WorldView-space the z component is already linear depth. Also you can achieve linear depth in world space as I did in the shader for depth comparison: dot(vecViewDir, wPos-vecViewPos.xyz). After transforming a vertex position to WorldViewProj-space you can find it's linear depth in the w element, z contains the non-linear depth which is used for z-testing. In the end it's a matter of precision distribution, the non-linear value offers more precision close to the near-plane, but since my reference implementation works in world space it was easier to work with linear depth. In other words all I changed in Depth.fx was "OutDepth = OutPos.z;" to "OutDepth = OutPos.w;".
In the end it should work in screen space also. I'll see what I can do.