By accident I found the solution (at least in my case...).
Instead of a 12V battery (2200 mAh) connected to the UNO, I connected a 7.5V adapter to it. And everything worked fine, no more disconnection when sending SMS. So I used a DC-DC-step-down converter (ca. 1,50€) to supply my UNO with 9 V. Now everybody is happy: UNO,GSM.shield and myself...