Moving a WP 1.2.0 to 1.2.1 installation did not bring the expected results regarding dropped umlauts. That post [1] did it for me. The problem even with WP 1.2.1 remains, when either Textile 1, Textile 2 or the Markdown plugin is activated. To have all three of them turned off finally brought the umlauts back again.
[1] http://wordpress.org/support/6/5408
