Dear Sascha,
If you change an address in a sales order (VD02) don't expect it to be replicated to CRM. Only when you change it via XD02 should you see it adapted accordingly in CRM.
And if the problem occurs through XD02 I would recommend to use tcode ANST_SEARCH_TOOL to check all the BAdIs and user exits that might be involved (plus the tool will give you all relevant oss notes to be implemented in your system so that's really something worth taking a look at: check the articles taking about it on scn).
Regards
Nicolas.