You do not need to use VALUES statement in this case. Try this
INSERT INTO S654321.CUSTOMER (KNR, FIRSTNAME, LASTNAME)
SELECT ‘K’ CONCAT CHAR(PNR), FIRSTNAME, LASTNAME
FROM S654321.PERSON P
WHERE NOT EXISTS(SELECT *
FROM S654321.CUSTOMER C
WHERE C.FIRSTNAME = P.FIRSTNAME
AND C.LASTNAME = P.LASTNAME)