Replying myself after more reading and testing.
*MQTT vs ETH probably is equivalent in my system, if the choice if given I think MQTT is preferred.
*NRF24 or RFM69, maybe both as I already have a bunch of NRF24 radios home and can start build directly.
*PC based MQTT could be an idea, but probably its as easy to work through an Arduino-example using the serial monitor in an Arduino-environment.
My way forward will be:
Remove the RPi-GPIO-gateway (I built a basic node and tested it, but could not communicate with the GW) and replace it with ESP8266-based WIFI/MQTT/Radio-gateway (one with NRF24 and eventually one with RFM69).
I believe that will be an easier way into mySensors-world also limiting the amount of required Linux-related knowledge. It will be easier to debug the system from Arduino IDE-serial console. Ie start and confirm OH3 to MySensors-MQTT-gateway, then proceeding with sensor to gateway communication etc.