Thank you again for your kind reply. Yes, it is enabled. I have previously imported the keyring, but as I cannot rule out I made any changes afterwards, I exported it again to be sure. This turned out to solve part of the problem. I can now see get the temperature sensor to work. As the humidity is basically the same, I double checked all configurations and found that I had set it up as percentage instead of humidity in the HA yaml file. Now both sensors works, thank you! 
However, I cannot yet get the setpoint change to work for the climate entity. I verified it is in the correct group(s) in ETS, but I find this a bit strange. If I view it on the device (upper part in the picture) it is in the groups 3/0/0 and 3/1/0. But if I view it on a group plane (lower part in the picture), it is not.
If I change the termostat setpoint I get:
2023-09-29 12:38:41.158 WARNING (MainThread) [xknx.cemi] CEMI Frame failed to parse: <CouldNotParseCEMI description="APDU LEN should be 0 but is 16 from 1.1.255 in CEMI: bcf011ff19000003f110002a1caf11780f4b3603054b6680" />
2023-09-29 12:38:44.106 WARNING (MainThread) [xknx.log] L_DATA_CON Data Link Layer confirmation timed out for <CEMIFrame code="L_DATA_REQ" info="CEMIInfo("")" data="CEMILData(src_addr="IndividualAddress("1.1.255")" dst_addr="GroupAddress("3/1/0")" flags="1011110011100000" tpci="TDataGroup()" payload="<SecureAPDU scf="<SecurityControlField tool_access=False algorithm=CCM_ENCRYPTION system_broadcast=False service=S_A_DATA />" secured_data=<SecureData sequence_number=180869861752 secured_apdu="0f4b3603" message_authentication_code="054b6680" /> />")" />