This is more a FAQ entry than a real issue from my side, since i solved the problem already. However, if someone has the same problem s/he might find this helpful.
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Removed all older components from <InstallPath> \bin and <InstallPath>\lib\Indy10. I used the same file system in the <InstallPath>\source\Indy\Indy10 with integrated version control.
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Rename the Indy CoreXXX, IndySystemXXX, IndyProtocolsXXX, dclIndyCoreXXX, … project files to Indy Core, IndySystem, … (without the Version identifier, if not DevExpress wont find the packages).
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Changed in every Indy project dpk the {$IMPLICITBUILD OFF} to {$IMPLICITBUILD ON} (if not you ll end up with E2220)
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Compile the projects. However, i used the all user path $(BDSCOMMONDIR)\Bpl and $(BDSCOMMONDIR)\Dcp directories as output for the binaries. -> The DevExpress installer don't like this. You have to manually copy the *.bpl to <InstallPath>\bin and *.dcp to <InstallPath>\lib\Indy10
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Install DevExpress components