Grub-install: embedding is not possible in Bios/GPT

Hmm ... apparently this line was the clue:

grub-install: warning: Attempting to install GRUB to a disk with multiple partition labels.  This is not supported yet..

Previously I had installed btrfs directly on /dev/sda and /dev/sdb. That's why both of them had a FSTYPE and LABEL attached (as shown in lsblk).

Solution: I have now wiped both /dev/sda and /dev/sdb with hdparm (Secure Erase). There is probably a better way to unset those flags ... but this worked for me.