As to the aforementioned workaround of symlinking chain.c32: This makes the mkwinpeimg report success, but leads to an unbootable image, since syslinux is missing some necessary files. The following diff however (as described before) does help and creates bootable images:
--- /usr/bin/mkwinpeimg.old 2017-05-26 11:57:45.264363991 +0200 +++ /usr/bin/mkwinpeimg 2017-05-26 11:57:56.176440234 +0200 @@ -485,7 +485,7 @@ syslinux --install "$image" - syslinuxdir="/usr/lib/syslinux" + syslinuxdir="/usr/lib/syslinux/modules" if [ -d "$syslinuxdir/bios" ]; then biosdir="$syslinuxdir/bios"