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