I found confirmation of the procedure to remove a RAID device in chapter 5.3.5. Removing a RAID Device at https://access.redhat.com/knowledge/docs/en-US/Red_Hat_Enterprise_Linux/5/html/Deployment_Guide/s2-raid-manage-removing.html. But apparently, there is no more reference in the documentation for version 6.
Anway, after some experimenting I finally I seem to have found the solution:
Apparently the trick is to stop all of the RAID devices and not just only the one to be deleted (md127). Something might get confused between md126 and md127. I have no explanation. I guess I do not need to remove the md127 RAID device once the RAID superblock is removed, but I wonder how this will work with initramfs, which should still have references to the RAID device.