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Finally I got around to investigate this a little more. What
essentially happens is this:
1) bdist_rpm generates a .spec file with the following
install command:
python setup.py install --root=$RPM_BUILD_ROOT
--record=INSTALLED_FILES
.. and the following files section
%files -f INSTALLED_FILES

2) if the setup.py installed any man pages, then after
%install and before %files rpm runs brp-compress (usually
found in /usr/lib/rpm/brp-compress) which compresses all man
pages with gzip.

3) Now the man pages have a '.gz' suffix, but the
INSTALLED_FILES file lists them still without the suffix.
The %files section of the rpm .spec file will fail.

The solution in my case was to use a custom rpm-install
script configured with setup.cfg:
[bdist_rpm]
install_script = install-rpm.sh
The install-rpm.sh file is attached.

The solution is not very generic - brp-compress compresses a
lot more files than the install-rpm.sh detects. But at least
there should be a documentation somewhere about the
brp-compress pitfall.