Thanks to all!
I don't see a problem with GPIB address "0". I set the LeCroy to zero and also the HP5340A (see below). The Computer interface has ID "7" and listener ID 21, factory setting.
There are a lot of parameters that could be changed. Parity bits, command termination etc. But I don't hope Rigol has messed with that.
Unfortunately I had no success with the Rigol. But I found another HP-IB device in my collection... HP5340A 18GHz counter

and that works without a problem, except I have no clue how to handle it. But I can send commands and set the device up for counting etc. The counter is quite interesting because it's from 1973, a few years before HP-IB was standardized, but it seems to work. It's only called "Digital Input/output"
The reason why I'm telling that is, the 5340A uses a command to select remote mode. Before that command is sent, it reacts to nothing. Maybe the Rigol also needs a command to go remote, but they forgot to mention that in the manual??
Or could it be a license issue? Do we have to buy a license for GPIB?
I wonder if someone uses the Rigol RC software? Maybe someone could snoop the GPIB bus to see what's going on?