Thanks for the answers, guys. The heel slipping is new to me, I've never had this with any of my shoes. I don't think I have a particularly narrow heel.
I suppose the problem comes from the shoe being too long for me. I hope that U last 41.5 will solve this problem.
And thanks for the hint with the downsizing for the F last. I will keep this in mind. ATM I think it's best to find out my size with the U last before switching last and starting the trial and error process again.
Cheers
Florian