Okay, Ladies and Gentlemen!
I have an Update. I simply wanted install a GDM Theme from the Graphite GTK Theme. For this I had to use not the Files from gnome-look.org
Instead I had to use the Installer Script from the Developer's Github Page:
So, I installed the GDM Theme but it didn't worked. I have still the Zorin GDM Theme. I don't know why, but for now that doesn't matter. The Thing is: after the Installation the Themes work in the Gnome Shell without this weird Color Issue:
You see that there are no weird Colors on the Buttons or the Writings. I took a closer Look at it and as far as I understand this, the Installer Script for the GDM Theme touches the File /use/share/gnome-shell/theme/ZorinBlue-Light/gnome-shell-theme.gresource
And the Change on this File seems to clear this. I will make some more Tests with other Themes to see if it works and give then an Update.