--- PROBLEM SOLVED ---
When attempting to solve the issue in one of the previous steps, I've changed the SFTP incoming port on the Synology to 115. I forgot about that. Changed back to port 22 and the problem is solved.
The issue was caused by the fact that the USG uses port 22 as the standard port to access SSH. I've changed the SSH port - as suggested by @USG_User - to another port.
I have a port forwarding NAT for port 22 that goes to the Synology with the according Security Policy and the setup is working now.
Thanks to @USG_User and @PeterUK to think along!
Stay healthy and buy-buy