I am still helpless here. Any idea how to debug the problem? I would be happy to provide any kind of help, but I just cannot do it myself.
Further findings:
1) I don't think that matplotlib changes Python's '_', since the tmp file that contains the content of '_' is correct.
2) Somehow, emacs/orgmode fails to extract the filename.
3) It doesn't work also when using emacs 24.5 and orgmode 8.2.10.