The problem were that we are using an application style sheet.
So the used style for rendering the tablecell and the content is QStyleSheetStyle.

If the application is working with QStyleSheetStyle it seem to be not possible to render the content of a tabelcell selection
without a stylesheet.

After using another style (the fusion style in this case) the styling of the selected tablecell is possible.

If somebody is interested in the working code:

// somewhere in the constructor
// m_unstyledView is type of QTableView*
// m_fusionStyle  is type of QStyle*

m_unstyledView = new QTableView; 
m_fusionStyle = QStyleFactory::create(s3Utf8String("fusion"));

void DataTableDelegate::paint(QPainter* painter, const QStyleOptionViewItem& option, 
                              const QModelIndex& index) const
{
    QStyleOptionViewItemV4 opt = option;
    initStyleOption(&opt, index);

    opt.palette.setColor(QPalette::All, QPalette::Highlight, QColor::fromRgb(255, 255, 0));
    opt.palette.setColor(QPalette::All, QPalette::HighlightedText, QColor::fromRgb(255, 0, 0));

    m_unstyledView->setPalette(opt.palette);

    m_fusionStyle->drawControl(QStyle::CE_ItemViewItem, &opt, painter, m_unstyledView);
}

drawControl(QStyle::CE_ItemViewItem, &opt, painter, widget);
My question is, how to render the selected cell (With which style items QStyle::CE_xxx???).

You should be able to achieve that either using QPalette or QStyleSheet. Another option would be to write a QStyledItemDelegate and reimplement the paint method.