Ok, I think I got this by myself this way:
public static void DisableReconnect(this ZmqSocket socket)
{
socket.ReconnectInterval = TimeSpan.FromMilliseconds(-1);
}
Built an extension for the socket class and did exactly what the C-interface expects: -1 milliseconds. MSDN library says that -1 milliseconds is not possible (and results in an exception) but it worked for me so far!