Ok. I did all kind of tests: local, remote, sql server, sql express, Northwind / AdventureWorks databases, etc.
Everything works, as long as I don't use my current database.
It seems the wizard just doesn't like the results coming from the information_schema queries to that database.
I cannot post the database ddl here, cause it's too huge (lot's of tables, views, functions and procedures).
Maybe there we have the problem too: Is it possible the wizard fails silently when the database contains too much objects then the wizard / edm tool can handle ?