Hey Nicolai,
I gotcha. OK, well, I tried the same steps on my systems. By that, I mean I changed the language to DE on the SAPGUI logon screen both using SSO and NON SSO in the SAPGUI. My default in SU01 is still EN. I didn't change anything in SU01.
I can say that it did make everything German. My systems are a combination of NW7.31, NW7.02, NW7.40 and that all seemed to work....allowing me to pick between EN and DE based on what I put in the logon mask during the login process.
Could it be that the language you are trying to allow a user to use was never installed? I really don't know, but it seems like for our systems, SU01 is irrelevant and you should be able to over-ride the language, just like you are trying to do. At least it works for me....but I know that doesn't help you 
Also, if you have CUA, that always adds another layer of complexity.
Knowing that this issue happens for you regardless of SSO/NON-SSO, I still think this question belongs in another forum. Like maybe the netweaver administrator forum?
NICK