Small supplement:
I updated steam-link with the experimental packages. Before, I added the PR from @psyke83 in scriptmodules/ports/steamlink.sh.
Now, I was able to play the dolphin-emulator mith my xbox-360 controller:
I opened steam on the host-pc
I started steam-link in retropie
I switched on
Settings/Streaming/Advanced Options/Start Streaming desktop and then I started
Now I was able to configure the controls within dolphin. I also made a combined hotkey to exit dolphin (In my case the Start and SELECT Button). Switched off
Confirm On Stop and
Render To Main Window on within the dolphin-emulator
Switched off
Settings/Streaming/Advanced Options/Start Streaming desktop
Restarted steam-link and it worked
I also installed steam-devices on the Raspberry Pi too, but I don't know if it makes any differences. If I want to play a game with a keyboard, I have to plug off the controller before starting steam-link.