Thanks for the feedback.
I deleted completely the files and even used via the ZorroFix.ini a different history folder (empty one). I did it today again and got other gaps in other years.
There must be an issue at the FXCM Broker? I am running the historical data since years and this is the first time I had this issue.
I changed to Zorro 64 bit, but the download runs via 32bit, which I already said. It seems is nothing with the Plugin itself, maybe an API issue?