It turned out that the wifi on Raspberry Pi Pico-W / Pico-2-W is somehow incompatible with my Mikrotik cAP ax wifi 6 access point or it's current firmware.
The Picos won't connect or sometimes will connect after many attepts and then not stay connected.
I now tested this with two other access points, one older mikrotik wifi 4 and the Picos work instantly without problems.