After rolling out the proxy settings within my network, there is another nice feature I stumbled upon: "Networks using Windows 2003 and/or 2008 Servers as a DNS do or can block wpad request by default."
Nice if you do not use it - but kinda hard to find if you need it and don't know it.
Windows 2008 is straight forward to configure and Microsofts KB is helping. Windows 2003 is a different story. I found Chris Dents homepage to address the issue because Microsofts KB ist nor very useful. I looked into the registry and surprisingly the so called global query block list was disabled (as the handbook says but why does it now work).
Nevertheless - without deleting the entries for wpad and restarting the DNS Server service the wpad URL wasn't able to be resolved.
So be aware of that :)
The default is disabled.