Hi Norbert,
you were right, when disabling the AppArmor profile for Mosquitto (with ln -s /etc/apparmor.d/usr.sbin.mosquitto /etc/apparmor.d/disable and restart) everything works as expected. I can move/rename/symlink the config file however I want to 
So the difference between SLES and other systems, e. g. Ubuntu, is simply, that a (restrictive) AppArmor profile for Mosquitto is installed by default.
Thanks again for pointing that out and best,
Fabian