FYI: For now we have found a workaround.
We are adding the package as ZIP file to the current spark session with .addyFiles.
So after creating a spark session using Databricks-connect we run the following:
spark.sparkContext.addPyFile("C:/path/to/custom_package.zip")

We still have the question open to the DB team on why our installed package is not found anymore by the spark workers.