>The picture in the library is somehow "compressed" as a jpeg and seems to have less color bit depth
That's normal. The preview in Library is from a jpeg that gets generated from the raw. It is in a smaller bit depth and a smaller color space than the raw. However, this should normally not be really visible except in extreme cases and on large color gamut screens. You can mitigate the non-smooth transitions by increasing the quality that the jpegs get created in the catalog settings (File Menu -> Catalog Settings -> File Handling). Just set the preview quality to High. I also set the Standard preview size to the biggest possible size (2880 pixels) as I use a HiDPI screen as my main editing environment so Lightroom doesn't have to recreate previews every time I show a picture full screen on my machine which slows the program down enormously.