How to light on/off LEDs controlled by a LED driver?
I can control the brightness with a PWM signal into the CTRL pin. But how do I control the on/off of the LEDs? 


The CRTL pin will control the LEDs on and off. As David said, 0 % duty cycle will turn them off. 


  Should I send a PWM signal with a 0 % duty cycle (is it possible?), or switch off the LED driver with an external transistor?


No external transistor. Just PWM the CTRL pin from your MCU.


  In the datasheet they seem to make the distinction between PWM frequency and switching frequency. Moreover they are talking about a soft-start which is 0.1 ms. Does it apply only when the LED driver is supplied with current, or each time the PWM signal reaches 0?


I can't find if the soft-start will kick in each time you PWM it. Perhaps they did something clever here to disable the softstart once you start PWM it. Best way would be to test it by increasing the PWM frequency and see if the soft-start comes into play or not.