<p>After building a Delta printer, I noticed that my whole prints are slightly tilted around the Z-axis in comparison to the slicer (e.g. Cura). There is no twist layer wise. This means, the prints themself look actually perfect. </p>

<p>I just don't know what could be the reason of the rotation. I do not believe it is a build issue of the printer, because I tried to keep the printer frame pretty stiff and symmetric. 
Could it be, that the Auto-Calibrate Feature of Marlin can add such a rotation?</p>

<p>The picture below illustrates the problem. I expect the black alignment of the print and get the orange one. Note that the print is still a rectangle with ~90° corners. </p>

<p><a href="https://i.stack.imgur.com/pXiHY.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/pXiHY.png" alt="enter image description here"></a></p>

If I am reading this correctly, your prints are being either stretched or your prints are shifting / leaning on more complicated prints.
In this case, given that you are on a Delta printer, my answer is the same for all. I usually do Cartesian based 3d printing but the concept is the same for any drifting or leaning. You simply need to recalibrate your steps per MM for each motor, and tighten your belts. You will have the complication of the interaction of the 3 arms, that others will be able to answer better. But in the end, if each arm moves as it should, the belts are not slipping, and you do not have issues with moving too fast (jerking can cause the belt to shift, and a loose belt can cause whiplash / and other print artifacts). My bet is your steps per MM is off on one of the motors, or you could have an overheating issue (not likely).
There are many
guides
to help with Delta specific calibration.
I can provide a better answer with photos. See
Stackoverflows guide on asking questions
.
Edit with the diagram (not a photo), you issue might be caused by stepper over voltage and you will need to adjust your pololus. If you hear a repeating Thud noise, you have your voltage too high.