Many thanks to Christian, David, and Pascal!
With your hints I was able to solve the problems.
Lessons learned:
1. d-i needs to be in "low" questions mode (expert) to allow
manual selection of partition type (e.g. DOS/MBR or GPT).
2. d-i seems to call grub-install on /dev/md0, even if user
explicitely selects /dev/sdXN - one need to select the
manual option and type the right device names. Or go to
shell and grub-install --force manually.
3. Changing the partition type of one disk in RAID6 is easy: If
all disks are OK, it is relatively safe to just remove one
disk (mdadm fail + remove), copy the partition table from
another disk (in case of MBR it can be done with sfdisk) and
add the removed disk again. It gets synced very quickly.
Cheers
