First thought it's some MIME-TYPE configuration of the server, but this all seemed to be OK, after comparing my local Apache config with the live server the only difference was the missing GD Support. And see there, installing (Ubuntu) the php5_dg package solved my problem.

# sudo apt-get install php5-gd
# sudo /etc/init.d/apache2 restart

Not sure why it didn't work with IE, probably the generated thumb was in a wrong format or  ImageMagick (which was installed), caused some issues. Anyway I'm glad it working. Note: Make sure to delete all the old thumbnails from the MODX cache to make sure the are generated new.