How can I mask a CMD-Variable reference $(myVar)? It is kind of an accademic question, but if I write a SQL-Script for SQL-Server in CMD-Mode, how could I create an column-alias like [$(myVar)]?

SELECT 1 AS [$(myVar)] --error: myVar is not defined
Within the script, use SETVAR:

:SETVAR myVar ColumnAlias
SELECT 1 AS [$(myVar)];


Alternatively, use the -v SQLCMD command-line parameter to pass variable values to the script.  See https://msdn.microsoft.com/en-us/library/ms162773.aspx SQLCMD for syntax.

EDIT:

Note that there are two parsers involved here, SQLCMD and T-SQL.  Double quote enclosures are required for SQLCMD variable values when the value
contains a space or a double quote.  Double quotes within the SQLCMD values are  escaped with an additional double quote:

--Double quote enclosure optional
:SETVAR myVar ColumnAlias
:SETVAR myVar "ColumnAlias"
:SETVAR myVar "ThisIsA'ColumnAlias'"

--Double quote enclosure required due to spaces or double quotes
:SETVAR myVar "Column Alias"
:SETVAR myVar "This Is A ColumnAlias"
:SETVAR myVar "This Is A 'ColumnAlias'"
:SETVAR myVar "This Is A ""ColumnAlias"""    


Separately, there are additional considerations depending on how the SQLCMD variable value is used within T-SQL scripts.  In your example, the value is used 
as an identifier (column alias) and is already enclosed in square brackets within the T-SQL script.  Right brackets within the value need to be escaped with and additional squure bracket for T-SQL parsing:

:SETVAR myVar [ColumnAlias]]
SELECT 1 AS [$(myVar)];
:SETVAR myVar "[ColumnAlias]]"
SELECT 1 AS [$(myVar)];


In the case of a T-SQL string literal, single quotes need to be escaped not for SQLCMD, but for T-SQL parsing:

:SETVAR myVar "This is a ''string literal''"
SELECT '$(myVar)' AS [String Literal];