I took a deeper look at my object shader and came to the conclusion that the bone animation shader is the one which puts the shadows infront of my models.
But why those 2 lines change the depth of the zbuffer?
float4 Pos = DoBones(InPos, inBoneIndices, inBoneWeights);
OutPos = mul(Pos, matWorldViewProj);
//intsead of
OutPos = mul(InPos, matWorldViewProj);
EDIT: Also the shadows created by those GPU bone animated models are wrong. The shadows dont have any animation