To be sure I've done my homework, using iClone/3dxchange I can export BVH (no materials) or FBX (only for characters).
If I want to export a whole scene animation - not only the characters but i.e. the vegetation with wind effect, animals and camera movement - and i.e. insert further VFX and assets in C4D there is any way to do that?

Possible enhancement for 3DXchange? Consider raising it in Feedback Tracker as a suggestion and if enough people vote for it, RL might just implement it.

Also for the character hair dynamics and cloth dynamics are not preserved, just to know if I miss some setting or this is correct.

This way for Cinema 4D .

- Export sceene on video format Mp4 , WMV or MOV  ( Video format ) -----------> import on Cinema 4D  ( use plan as texture or diffuse)
- Export sceene on motion picture Targa format  -----------> import on After Effect then bring to Cinema 4D ( Needed After Effect Plugin for Cinema 4D )
                                                                                    Cinema 4D can read alembic format  ---------> ( AE have interface with Cinema 4D )

May be help.

Thanks for your comments. 
My goal is to export the 3d animated assets into C4D for further editing, there is no way to preserve iClone dynamics?
For video VFX I will use HitFilm Pro not AE.

Never heard of backing a simulation, how do you do it?
I want the hair dynamics to be preserved in the iClone --> C4D process, without needing (if possible) to re-create the hair dynamics in C4D (as shown in the second video from DAZ to iClone)

Hai friends,
For this case .
Bring Cinema 4D asset to iClone 6 with Fbx format ( Model , animated etc ) , then export on video format ( iClone 6 Export render ).
Bring to Hit Film for editing  (  Hit Film for compositing ) .

May be help.