Found it allready.
Sometimes you just have to do something else for a while to really see where it is going wrong.
For all Magento user who might have the same challenge:
There are a few setting that make sure you really have a 100% discount, on every page of the one-page-checkout
1. Menu - System - Configuration
Tax - Calculation Settings :: Apply Discount on price. Set this to Including Tax.
2. Menu - System - Configuration
Tax - Calculation Settings :: Apply Tax On. Set this to custom price if available.
When you only set this, it works fine until the last step just before you have to click to pay your order. At this point the Grand Total is only the Tax from the original price.
For this to work properly there is just a little minor thing you have to set:
3. Menu - System - Configuration
Sales - Checkout Totals Sort Order :: Make sure that Discount is set to the single highest number before Grant Total (I myself set it to 60)
If you ask me this sounds like a bug because the standard value should work (19% tax on a product of 0 euro, in my opinion is still 0 euro tax)
But this works for me, so I hope I can help somebody with this information. Next week we are going to upgrade to 1.6. I will let everybody now if it still works this way.