finally I found it...
As I wrote before, I'm using this using recursion on EntityManager.Refresh...
refresh lists without generics
The described shortened way looks like that in real:
hEntity := Manager.Find<TEntity>(1);
TMSLogger.Info(hEntity.Children.Count); => proxy is loaded
**Manager.Refresh(hEntity); // this for sure kills IsProxyLoaded...**
bIsLoaded := Explorer.IsProxyLoaded(hEntity, Explorer.GetAssociationByPropertyName(TEntity, 'Children'));
TMSLogger.Info(bIsLoaded); => output is false...