Well, I solved it somehow...
I reinstalled my system completly from scratch.
Installed the chipset drivers and the OSD Utility.
Ran the AlienFX 1.5 software setup (that`s the old one we could download from the support site)
It was the same, no firmware update.
After this I rebotted the system and installed the Alienware Command Center. When the warning message about the firmware at the end of the installation popped up, I did not clicked "OK" immediately, and after a few seconds I got a Vista
message that it wants to install a driver with no microsoft approval. I accepted it, then "OK" and the firmware upgrade started...
I tried to remove/install the command center several times before, but never worked. I`m not sure if the clean install helped, or the waiting after the pop up message.
Hope this helps