@gasolin @abacus @matt49 @Al ears @Noddy Thank you for your reactions.
At the risk of being the most fickle member of this community I'll tell you my next step. Yes, yet a next step indeed.
But after two weeks of listening to my new combination Arcam A15, Dali Oberon 5 speakers and SVS SB-2000 Pro subwoofer I decided that the subwoofer is not ideal with these Dali speakers. Especially with classical music (but with rock as well) I heard a lot of unbalanced and sometimes rumbling transitions between tones just above and tones within reach of the sub. SVS has recommended settings for Dali Oberon 5, but those (and settings near those) did not fix this unbalance.
In the meantime I have become more forgiving to the Dali Oberon 5's, because I played the set a bit louder than before. That makes them sound better for sure. But I want to be satisfied with less loud music as well...
So now I have made a final decision: I've sent the subwoofer back (still in the trial-period, getting my money back). Then I went to a hifi studio and listened a long time to different speakers with my Arcam A15 amp. Nearly four hours of listening and comparing, supported by an understanding and skillful advisor lead me to the Sonus Faber Lumina V Amator speakers, trading in my Dali Oberon 5's.
In the studio I was quite exited. These speakers are very balanced, detailed, nowhere too sharp or too warm, with resilient (elastic, if you want), never booming bass reproduction, without any noticeable cross-over between the three-way speakers.
It may take a few weeks before they arrive. After that I will update how they sound in my room, if I can find the right words. More convinced now that I have made the right choice than with all described steps before in this thread. So in the end I followed the advise that many of you gave me before: get new speakers to solve the problem.
And given my budget, this is my last step anyway...