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[wzehntner]

I got a Debug-DCU-path:
$(BDSLIB)\$(Platform)\debug which resolves on my system to:
c:\program files (x86)\embarcadero\rad studio\9.0\lib\win32\debug

That is a DEBUGGING path, it is used only at runtime when the debugger needs to step into source code.  That is not a path used during compiling.

In the project options, double-check the "Unit Output Directory".  If it is blank, .DCU files will be output in the same folder as the .PAS files they were generated from.  Either set that path to a common folder.  Or set the "Search path" to include all 3 of Indy's source folders (System, Core, Protocols).

I still get error:
[DCC Fataler Fehler] IdDsnPropEdBindingVCL.pas(80): F1026 Datei nicht gefunden: 'IdIDN.dcu'
                                                                      ^^^
Line 80 reads: 

Code:

  IdSocketHandle;

The ONLY unit in Indy that uses IdIDN is IdStackWindows.pas (which makes sense, since IdIDN.pas is currently a wrapper for some Windows-only APIs), and even then ONLY in its implementation section.  So there is no way that IdSocketHandle.pas or IdDsnPropEdBindingVCL.pas could even be seeing IdIDN.  Something odd is going on with your system.  Are you SURE you cleaned out the old Indy files FULLY from your system before attempting this new build?

I have no "Unit Output Directory" 
I have only a unit-namespace feature see attached screenshot.

Thanks for your suggestion: I will hunt for old Indy-files

Edit: I found a couple of old Indy-files and deleted them.
However building all Indy-projects still resulted in this error:
[DCC Fataler Fehler] IdDsnPropEdBindingVCL.pas(80): F1026 Datei nicht gefunden: 'IdIDN.dcu'

I copied IdIDN.dcu from System to Core and to Protocol; compiling now was successful and I am happy with it.
I finally got Indy 10.6.2 installed and won't bother with this IdIDN.dcu