Ok,
so I found a workaround for this issue, directly in the preseed.cfg file. I don't like it, but it works. I hope it will help someone but also I hope it will be taken forward by @philh or other d-i/apt-setup folks...
in preseed.cfg:
<snip>
d-i preseed/early_command string \
sed -i '3i if [ db_get apt-setup/use_mirror=true && db_get apt-setup/no_mirror=false && db_get netcfg/dhcp_options != "db_get netcfg/dhcp_options"]; \
exit 0; fi' /usr/lib/apt-setup/generators/40cdrom || true
<snip>
Cheers,
Jerzy