Thank you for your response. BTC-e does mention that an address can be used multiple times but they also state, that they do not accept "generated" transactions.
So it should be saver to withdraw "locally" and from there to an exchange.
BTW.: What happens, when a transaction is not accepted .. ? Is that possible or is this just a return-transaction then.
When they say "generated," they're referring to coins produced as a direct result of mining (like from p2pool). Some other pools work like that, too, where the coins generated from mining go directly to the address you have set as the payout address (Eligius?). I don't think most do it that way (they instead have a community wallet where generated coins, and then when you withdraw, you're withdrawing from that community pool), but I've been out of the loop for too long to answer you with much confidence. If your pool credits your account instead of paying directly to an address every time the pool finds a block, the "generated transaction" exception probably doesn't apply to you and you'll be fine.
If a transaction isn't accepted, BTC-e would probably keep the funds until you pester customer service to get the coins credited to your account. (I think this is how it works with Gox)
