Given that, I used a solution from
StackExchange:
ACLOCAL_PATH=/usr/share/aclocal ./autogen.sh
in the bitcoin directory and that avoided the PKG_... errors during the execution of ./configure.
You are actually setting ACLOCAL_PATH to the default search path.
$ aclocal --print-ac-dir
/usr/share/aclocal
ACLOCAL_PATH is ignored by msys-autoconf (afaik), this is why pkg.m4 needs to be installed to /usr/share/aclocal (--prefix=/usr when configuring).