Ok, so I tried MQTT Client Gateway without radio and with local sensors and actuators and it works !!
The MQTT topic shows the node-id as 0, which makes sense as it is a gateway.
One thing I noticed, is that the Gateway occasionally seems to loose connection with the MQTT broker and then it shows "Attempting to connnect to MQTT broker ..." in the serial log.
I suspect that my heavy void loop() occupies the CPU too much ?
(I'm debouncing 16 contact inputs without the debounce library, without waits, without interrupts)
Also sending a relais change status from OpenHab takes a few seconds before it actually gets changed on the Mega.
OpenHab publishes right away (I see it on the MQTT monitor), but then it seems to take time before the
void receive(const MyMessage &message) picks it up and changes the relais.
I will do some more testing to see where the problem lies.