You could edit CaveRenderPro.bat to increase Heap-Memory to 4 or 6 GB and run this batch file. In my environment with 2GB it prints one page at max. 400 dpi, with 6GB it prints 4 pages at 600dpi.
I think I understand the issue I had now and it isn't related to the Heap-memory. I just happened to select an empty drawing layer so the A4 sheets footprint can't displayed. Stupid me... sorry. :(