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Thanks for your reply. /var/lib/nagios is is owned by nagios user and was fully writeable.
Very strangely things started to work after letting run nagios for some time ... the retention.dat got created.
I understand there is the parameter which says how often the retention.dat is written during runtime (which is 60min by default, I think) but to my understanding this should happen no matter what when nagios shuts down. Maybe this doesn't happen ...