Thank you!
It was indeed a mistake from me, not to change back to bank0 to write te w into the variables.
Instead of defining the variables in bank 2, I switch back to bank 0:

BCF STATUS,RP0 ;bank2
BSF STATUS,RP1
MOVLW 0x0F
MOVWF PMADRH
MOVLW 0xFF
MOVWF PMADR
BSF STATUS, RP0 ; Bank 3
BSF PMCON1, RD ; EEPROM Read
NOP
NOP
BCF STATUS, RP0 ; Bank 2
MOVF PMDATA, W
BCF STATUS,RP1 ;bank0
movwf dmxlowbyte ; range is [0 255]
BSF STATUS,RP1 ;bank2
MOVF PMDATH, W
BCF STATUS,RP1 ;bank0
movwf dmxhighbyte
clrf STATUS ;ga naar bank0