Thank you for your suggestion...
I've checked those firmware versions and they're all up to date but the problems were still there.
I've installed a program called "Driver Booster" and updated my drivers (even gaming components, you will see...). My Surface is working for 1 hour now and had no shut downs yet. I hope it stays like that...
If it shuts down again, I'll report it here.
Edit (2h 30min without shutdowns):
I forgot to say that I also updatet all the programs on Microsoft Store.
Edit 2:
It hadn't any shutdowns yet but I've noticed that my Surface Pen didn't work (Buttons and the "Eraser" works but the tip doesn't work anymore).
I've run out of patience. I'm sending this back and I'll get the Surface Pro 6. It should be more stable.