I want to build my own routerboard router and though of buying following products:

* RB433
* R52H
* RB433U case
* uFl antenna
* 24V power supply

The router should work as home/small office router, need OpenVPN, DHCP and a stable Wireless.
Do I have all I need? Would this hardware work for my intentions?

Just use a R52 - many people have reported problems with the R52H and the R52 are working fine for us even as WISP-AP

Also keep in mind that you won't be able to use the benefit in output power at all depending on your country.

a different solution would be to use a RB750G and plug in a external Wireless AP.
The RB750G should have everything I need, except Wireless. Any suggestions on which AP I could/should use?

I use a PicoStation 2HP and a RB450G. (Very stable) Like the above poster said, you might not be able use such a high power device in your country. A standard PicoStation 2 and a RB750G (unless you only need 100Mbit) would do fine for a beginner Router/AP and not break the bank. (Approx $115 USD)