*** WORKING ****
I finally got it to work! As Dave suggested you probably have setup one or more inbound routes from your trunk. In my case I had 3 numbers and 3 inbound routs pointing to different inbound numbers. So keep your settings as they are and add an additional inbound rout wit CallerID Number “anonymous”. You than are able -for your DID numbers- to forward blocked caller ID’s to any number, announcement or IVR you want to configure.
Please note that your provider could use a different CallerID Number for blocked numbers. Try any of these
anonymous
hidden
Restricted
Unknown
unavailable
No Caller ID
private
or any thing like this in your language.
In my case I also have friends calling with hidden numbers and I was looking for a way to let them through. Since you can not filter there call as it is anonymous, I had to come up with an IVR. So any known number is send to my IVR anyway, but blocked numbers have a special IVR. This IVR says that there number is not being recognized and I send them right to voicemail to identify them selfs and leaf their number. If they don’t, I don’t call back! If they do you have the chance to identify who called and if you like to call them back. Believe met that up to today, no one has ever left a message and I do have a lot of calls. So telemarketers goodbye.
Now if your friends are calling, they come out on the same IVR, but they have time to put in a number (extension) I gave them, to reach me anyway. In this way you are able to let your friends and family call you with hidden numbers and give them a chance to reach you.
Hope this will help you to block any anonymous callers and let the good ones through 
Again many thanks for pointing me into the right direction Dave!
Cheers,
Chris