ok, even if I am talking to myself, maybe it helps others.
I was mislead from my SQL 2005 experience where the catalog was a real object.
Starting from SQL 2008, the Catalog itself is merely a "logical" object, nothing physical.
So the catalogs themselfes obviously seem to stay in the primary filegroup, whatever you do.
But if you move the actual fulltext index (which you seem to be able to do as with any other normal index), the data to hold the index moves to the other filegroup as well.
So it seems my first thoughts were just mislead.
Is there anybody out there to confirm this?