That's why I was searching a solution and was ending up with writing a new Plugin for internal testing purpose.
It extends the "Dashboard" -> "Settings" -> "General Settings" with following option:

If you enable this option, your local Windows based installation of XAMPP (WordPress) will ask you now at every update with the well known FTP update mask about your credentials. But it's not done by enabling this option, you will need at least a well configured FileZilla FTP Server doing the required work for you too.
Once you have configured a user, his/her home dir and access rights, WordPress will update from now on all affected components as expected but now using FTP.

The Plugin has been tested only a few days, so we are still at QA phase, but we would share this, if there is any demand for it.
Please let us know, if you are interested in. If we get a significant amount of requests, we (or especially I) will publish it on my blog Code Styling Project. This would include also a complete description, how to configure the FileZilla Server based on a simple example.

This is my first article at WP Engineer as new member. It may be a bit technical but my main work is normally developing solutions. I hope, it's interesting for you nevertheless.