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I have a couple of door/window magnet sensors 433: http://telldus.com/produkt/magnetsensor-433mhz-1-pack/
Do they work directly with the Tellstick Gateway Znet Lite v2 or do I need a receiver in between? I ask before in the magnet sensors instructions it says to pair them with a socket receiver. I somehow fail to connect these sensors directly to the Tellstick

They work directly with your Tellstick ZNet v2. You need to add a device in Telldus Live and then scan the house code of the magnet sensor. (described in the manual).
Then it's possible to use the sensor in an event and control other devices.
Its also possible to pair the sensor with a receiver and by-pass the Tellstick.