Ok. I made it work again. I deleted my old working set (containing a lot of holiday entries and exceptions) and created a new one from scratch. Suddenly the shortcode works again.
Very confusing was, that the shortcode (with the original set_id) above worked on pages and posts but didn’t in the header.php.
Btw.: the WP 5.7 wasn’t the problem, cause on my local test installation everthing worked fine after the update.
Mysterious.