Okay, my solution did not work after all, but I have now sorted it out.
With regards to PCM+ (and a web browser), the MSM765zl module seems to need an IP address set on its internet port. So I connected my admin VLAN untagged to this port with a fixed IP address. Then I could manage the module from PCM+ with the correct address set in the 5406zl live view.
For my access points, I set up two more VLANs to mix my old standalone AP530s with controlled MSM410s.
The AP530s have two VLANs - the admin VLAN (1) untagged, and the user VLAN (107) tagged. This has worked for a long time.
The MSM410 have two VLANs also - the user VLAN (107) tagged, and a new control VLAN (207) untagged.
The control VLAN is also connected untagged to the LAN port of the 765zl module, and the LAN port has a fixed IP address in another subnet than the one on the module's internet port. Also, the 765zl acts as DHCP server on the control VLAN.
So, what I have is:
The AP530s have fixed IP addresses on the admin VLAN and provide user access through VLAN 107. The wireless users get their IP address from a DHCP server (let's call it DHCP-1) on the firewall.
The MSM410s get their IP addresses from the DHCP server on the 765zl module (DHCP-2) through VLAN 207.
The wireless users on the MSM410s get their IP address like the users on the AP530s as described above.
The MSM765zl module is available on the admin VLAN and accessible from a web browser or from PCM+. It's not terribly well integrated into PCM, but I guess that's a matter of time.
Everything works, my APs are easy to maintain and I'm a happy camper.
Almost.
One tiny bug is remaining:
In PCM+ the two ports of the MSM765zl module has disappeared in the Port assignment tab in the 5406zl device page, but only on that tab and on the Modify port assignment page
On the two other tabs, the ports are there.
Oh well ...