Is this normal behaviour?
Yes. On a default Apache install, only index.html is set as the DirectoryIndex (the default setting).
Either in the appropriate <VirtualHost> container, or main server config you need to add a <Directory> section that specifically targets the defined document root directory.
I got it to work ! Yey!
The answer lay somewhere in the General settings of the wp-admin site and my dyn account. I delted my dyn record from their site temporarely. Then I edited the configuration of my wordpress-site and folder in wp-admin. I changed it to the external IP and then it worked without index.php right away. Then I changed the values back to ...
Ordinarily, requests for physical directories (and files) are not routed to WordPress. You could make an exception for this one folder (or URL) and specifically rewrite requests for /connect to index.php (the WordPress front-controller).
Try the following before the # BEGIN WordPress section:
# Override directory
RewriteRule ^connect index.php [L]