Hi Andreas.
The parameter estimation algorithms in Forecast Studio and ETS (TSFS) are very similar; a model that is successfully fit in FStudio should not have problems being fit in ETS and vice versa. The first thing I'd do is double check to make sure the specifications are identical. That is, is the dependent variable first differenced in your ETS specification, ... .
Something else that can be tricky is that pure delays in independent variables in a transfer function are called 'shifts' in ETS and are denoted, e.g.; in PROC ARIMA (1 $ input1, ..). Pure delays are called 'delay' in Procs that run under the hood in Forecast Studio, e.g. PROC ARIMASPEC.
The TSFS system is a handy tool, but it's functionality is very limited relative to Forecast Studio. The TSFS system allows users to fit ARIMA and ESM models from prespecified lists and specify their own custom ARIMAX models. The procedures that run 'under the hood' in Forecast Studio can do this plus: automatically identify or build a transfer funciton and error component specificaiton from scratch based on patterns in the data, identify UCM specifications, do automatic model selection, create, fit estimate and select the best models for hunderds of thousands of series .... The list goes on. If you would like to learn more about Forecast Studio, let me know.
Best, Chip