Argh, un-friggin'-beliveable! Correction is in the note 1966121 - Unexpected popup with title M appearing after F4 help, found it through KBA 2061570 - F4 help in SU01, SU10,..... does not work after SP Update or EhP Upgrade
We have no pop-up appearing and neither note nor KBA mention the other transactions that could be affected. At this point I was just going through the whole search by F4 (few thousand notes). Symptoms in KBA were exactly as ours and when I looked at the correction instructions in 1966121 I saw that they contain include WDTMFORS. So I put a breakpoint there and lo and behold - other search helps go through the same one.
There must be some special circle of hell reserved for the SAP people who can't label the notes properly. 