Does the "attachment" directory only contain those files (10000.attach, 10001.attach and so on) or does it contain folders (1/10000.attach and so on)?
We'd usually expect a vBulletin attachment directory to contain multiple directories representing user IDs.
In vBulletin 3.x we'd expect attachments to be in attachment/1234/<attachmentid>.attach and so on if the user ID was 1234.
In vBulletin 4.x we'd expect attachments to be in attachment/1/2/3/4/<filedataid>.attach if the user ID was 1234.
You may want to investigate via the vBulletin settings what the correct path is, make sure the path is readable and so on. Also check whether the attachments are in the database rather than the file system.
We've not had any other reports of attachments not working so strongly suspect you're facing some localised issue or using the wrong path or similar.
I noticed that vB's old "anhaenge" directory hasn't been used since the Xenforo installation (Oct 11, 2019). Did the importer then automatically copy this content into the data/attachments directory? Do I no longer need the old directory?
I found a few files that exist in both directories.