I contacted support about this issue and the anwer was that the Data Market currently does not support localized number formats. Thus currency exchange rates received from Data Market will always be in English format, i.e. using the dot as the decimal separator and the comma as the thousand separator.
There are three possible workarounds:
1. Manually change the settings in the main part of the data load script to English settings.
2. In the formula that uses the exchange rate from data market use the Num# function to convert the exchange rate to the desired number format, e.g.
Num#([Exchange rate],'#.#', '.' , ',')
3. Use a calculated dimension in the data load script that does the conversion using the Num# function, e.g.
Num#([Exchange rate],'#.#', '.' , ',') AS ExchangeRate_German;