Hello again ! 
I've installed a new(er) version of Parallels Desktop on my new Macbook Pro M1 and Windows 11 (ARM version) as a virtual machine...
Now simply "transmitting" / using the normal "alt-Tab" command as "Type a Keystroke" works fine !!!
So it might have been an issue with my particular setup that made KM having problems to "get the commands through" seamlessly...so this issue can be treated as "solved".
But also "Nige_S" 's tip with the Apple Script worked (also on my old system) - thanks again for this suggestion !
As a feedback for everyone reading this threat - Nige_S's preferences adjustments didn't solve the probelem for me...