Well, this one can be marked as solved, although it IS a bug in PinballX (I have no idea how to contact the author to tell him this).
The solution is to create a pinDMD.ini in the PinballX folder with an unused COM port:
[communication]
comport=COM5
Without ini file, COM3 is used, which has my Teensy and NOT a pinDMD. And there seems to be no way to tell PinballX NOT to use a pinDMD interface - it's ALWAYS opened and COM3 is ALWAYS blocked, even if you don't have a pinDMD. So this is a workaround. The best solution would be to add a Yes/No setting to tell PinballX if you have a pinDMD.