I don't know what really happend, but I got following situation: When I create a UE4 project (C++) it compiles the project and opens Visual Studio in the project directory, like it should. Now when I add a new C++ through Unreal's Editor, it opens Visual Studio another time and says "Loading Visual Studio..." until it says "Failed to load Visual Studio". The new Visual Studio window says it could not use IntelliSense because my first instance of VS is using the generated IntelliSense file. Because the the VS windows are colliding, none of these opened my Pawn Class... so I have to do this manually everytime.
Thank you for helping me!
It's a bug (UE-51608) which will be fixed with the upcoming 4.19.