I can not rotate components in the inspector independently, without rotating the object they belong to.
If a have a light as a child, I can rotate/scale easily by just selecting the child.
BUT… if the light as a component in the inspector, I can only do it my rotating the main object too.
Same happens with colliders.
Any idea, how to rotate the light if it is at the inspector?
What you ask for is impossible and indeed not even meant to work on purpose. To rotate, scale etc., a Transform component is needed. Components can only be attached to GameObjects. Thus, a Component can not have a Transform - or any other - Component attached to it. Why would you want to rotate a Component? If you want to move/rotate/scale it independently from other Components, then just attach it to a seperate gameObject, and rotate that one, and maybe make it a child of the original GO if you wish. This is just the normal way of doing things in Unity.