Anbei die Antwort des Entwicklers, was soll ich sagen jetzt funktioniert es! Tolle Reaktionszeit!
Most games have this problem - they lock the mouse to the game window. In Aven Colony's case, it locks the mouse to the window because the borders of the window are one of the ways to scroll around the map. The normal solution to get the mouse back (to press ALT+TAB) works here too.
But there is a solution if you want it to never lock to the window! It does involve editing an .ini file though.
Hold the Windows key and then press R, this will open the Run box. Paste "%LocalAppData%\AvenColony\Saved\Config\WindowsNoEditor" (without quotes!) into that box and hit Enter (or click OK).
You should see a file named "Game.ini" there (although you may just see it as "Game" if you have extensions hidden). Double clicking that file it should open in Notepad (or your default text editor). Add the following lines:
[/script/avencolony.prototypeocplayercontroller]
LockMouseToViewport=False
Save the file, run the game again and you should find that the mouse cursor will leave the window whenever you'd like!