Hi Rainer,
Sorry for such a delay. I do not believe that our device performs such a manner, so I decided to duplicate your setup. However, my system is a bit different than your setup. I was using the Cypress microcontroller to communicate to the LM95071 via SPI protocol. I used the oil bath to heat up and cool down the temperature, and the Fluke (formerly Hart Scientific) precision PRT to monitor the temperature. I tested on the bench and was not seeing what you are seeing. Could it be your system setup? Here is the data attached.
Please let me know if you have further question.
Aaron