Answering my own question hope that is ok.
What helped for me was using the
System.Windows.Markup.XamlReader.Load(stream,XamlParserContext)
Method.
s. http://msdn.microsoft.com/de-de/library/ms590388.aspx
This method seems to respect the encoding of the string variable.
I still don't understand why this doesn't work with the Static ParseMethod. But I hope this solution will help someone else to safe time :-)