Problems after switching from MacBook Pro 13" Mid 2018 to MacBook Pro 16" Late 2019
Well it turned out I really didn’t use the correct power supply. I used the one from my 13” MacBook and it turned out I need the full wattage charger.

https://support.apple.com/en-us/HT201700

The Monitors also work now. Just had to turn off HDR in my MacBooks Display Settings.