Solved. I also need to set Dut.DtrEnable=true in the CSharp code. This is default false.
After doing this, the DTR can be checked in the embedded code to detect if the comport is opened or closed.
It works now, in Bray's Terminal the DTR switch must be set (once) manually to achieve the same.
I found this information in several forums of other manufacturers/libraries using USB-CDC such as LUFA so the problem is not related to PSOC5lp but to Windows/CSharp