PS: The second problem is persistent if GPG4Win is installed or not. But
knowing how to handle it, I think it's no real problem.

Hmm, let's see:

GPG with GPG4Win installed (I indented it a bit):

% gpgconf --check-programs
gpg:GPG for OpenPGP: C%3a\Program Files (x86)\GnuPG\bin\gpg.exe:1:1:
gpg-agent:GPG Agent: C%3a\Program Files
(x86)\GnuPG\bin\gpg-agent.exe:1:1:
scdaemon:Smartcard Daemon: C%3a\Program Files
(x86)\GnuPG\bin\scdaemon.exe:1:1:
gpgsm:GPG for S/MIME: C%3a\Program Files (x86)\GnuPG\bin\gpgsm.exe:1:1:
dirmngr:Directory Manager: C%3a\Program Files
(x86)\GnuPG\bin\dirmngr.exe:1:1:
pinentry:PIN and Passphrase Entry: C%3a\Program Files
(x86)\GnuPG\bin\pinentry-basic.exe:1:1:

after the deinstallation of GPG4Win:

gpg:GPG for OpenPGP: C%3a\Program Files (x86)\GnuPG\bin\gpg.exe:1:1:
gpg-agent:GPG Agent: C%3a\Program Files
(x86)\GnuPG\bin\gpg-agent.exe:1:1:
scdaemon:Smartcard Daemon: C%3a\Program Files
(x86)\GnuPG\bin\scdaemon.exe:1:1:
gpgsm:GPG for S/MIME: C%3a\Program Files (x86)\GnuPG\bin\gpgsm.exe:1:1:
dirmngr:Directory Manager: C%3a\Program Files
(x86)\GnuPG\bin\dirmngr.exe:1:1:
pinentry:PIN and Passphrase Entry: C%3a\Program Files
(x86)\GnuPG\bin\pinentry-basic.exe:1:1:

From within the GPG4Win folder:
weber in /c/Program Files (x86)/GNU/GnuPG [13:26:16]
% ./gpgconf --check-programs
gpg:GPG for OpenPGP: C%3a\Program Files (x86)\GNU\GnuPG\gpg2.exe:1:1:
gpg-agent:GPG Agent: C%3a\Program Files (x86)\GNU\GnuPG\gpg-agent.exe:1:1:
scdaemon:Smartcard Daemon: C%3a\Program Files (x86)\GNU\GnuPG\scdaemon.exe:1:1:
gpgsm:GPG for S/MIME: C%3a\Program Files (x86)\GNU\GnuPG\gpgsm.exe:1:1:
dirmngr:Directory Manager: C%3a\Program Files (x86)\GNU\GnuPG\dirmngr.exe:1:1:

The old scdaemon could be some problem with the setup - I had 2.1.13 installed,
but before filing this bug-report, I used the installer from gnupg.org to udpate
to a current version to re-check the behaviour.

But I think I may have two separate problems here now:

• "Unknown IPC command" on recv-keys (from cmd and zsh) - it seems I can't

reproduce this after reinstalling GPG4Win. Maybe my environment was screwed up
without me noticing it.

• "Unknown IPC command" on gpg-connect-agent <command> /bye (only in zsh) -

this seems to be persistent, but I just noticed if I add an empty argument
between the command and the /bye, I don't get the "Unknown IPC Command".
Which means gpg-connect-agent '' /bye works flawlessly. Maybe something to do
with MSYS2 or zsh.

Sorry for being such a weird case xD

It's the running process information from the task manager (right-click the
running process, properties) - I would be astonished if Microsoft would screw
even that up.

Just for testing it, I reinstalled GPG4Win:

% gpg-connect-agent 'getinfo version' /bye
D 2.1.5
OK
ERR 67109139 Unknown IPC command <GPG Agent>

% gpg --version
gpg (GnuPG) 2.1.5
[...]

% gpg-connect-agent --version
gpg-connect-agent (GnuPG) 2.1.5
[...]

% scdaemon --version
scdaemon (GnuPG) 2.1.3

So it is using the right executables for gpg-agent, gpg-connect-agent and gpg,
but as long as GPG4Win is installed in another directory, it fails on some IPC
Commands..
Scdaemon seems to be 0.0.2 versions behind, which irritates me a bit. But it's
definitely not the one from GPG4Win.

Values from within the GPG4Win directory:

weber in /c/Program Files (x86)/GNU/GnuPG [13:09:03]
% ./gpg2.exe --version
gpg (GnuPG) 2.0.27 (Gpg4win 2.2.4)

% ./gpg-agent.exe --version
gpg-agent (GnuPG) 2.0.27 (Gpg4win 2.2.4)

% ./scdaemon.exe --version
scdaemon (GnuPG) 2.0.27 (Gpg4win 2.2.4)

% ./gpg-connect-agent.exe --version
gpg-connect-agent (GnuPG) 2.0.27 (Gpg4win 2.2.4)

Oh, and thanks overall for making me uninstall GPG4Win :)

Yes and no.
The gpg-agent process running was definitely the 2.1.5 version (see screenshots).

But nontheless, uninstalling GPG4Win solved the problem.

On a sidenote: I had installed GPG4Win solely for the purpose of using it's
pinentry, as it was playing along with my SmartCard-Reader better than the GnuPG
version (pinentry on the device vs on screen) - but somewhere in one of the
later updates, the GnuPG-Pinentry seems to have caught up - everything works now
with just one installation - thanks :)