SOLVED:
I wasn't using my Cloudron instance as mail server. I have some ISP issues with inbound email so I try to avoid cloudron mailbox for now. The good news is that for the SoGO login doesn't need a fully working mailbox just an existing one. The domain mentioned in the manual is the dns domain(!!)
Anyways the steps which fixed the issue:
For this example let's assume your domain is hostedservice.page and we will create a mailbox james@hostedservice.page
Go to Cloudron Dashboard
Under profile select "Email"
Edit the domain of your choice which in our case is hostedservice.page, where you want to host the mailbox. You'll find it under Domains → Domain → Actions → Edit
Under Email configuration hostedservice.page you'll find Mailboxes
Click on Add and select a name like "james" and assign a cloudron "owner" as the Cloudron dashboard user account who will own the mailbox.
Click on the created mailbox and you will see something like james@hostedservice.page
Go back to SoGO and use the mailbox username james@hostedservice.page and the cloudron user password
You are in. That's all.
Thanks for the help!