Thanks. I pasted the output of
(kill-new (combine-and-quote-strings (lsp-julia--rls-command)))
to the command line and it turned out I had to install SymbolServer.
Now I have a
LSP[julia-ls:23615 status:starting]
modeline, that stays on status:starting, is this normal? I have no errors in the *julia-ls::stderr* buffer.