I finally succeeded in building the documentation. I could identify all problems and finally find a configuration that works. For your information, here are the problems I faced:
- MSYS comes with an out-dated makeinfo, which cannot handle @float, so you have to use another one, for instance from the GnuWin32 project (you have to play with the PATH as makeinfo is part of the core MSYS)
- texi2dvi and texi2pdf are available either from MSYS or from GnuWin32; in both cases, the texi2dvi script has special code to handle ; or : as path separator for the TEXINPUTS variable. The choice is made on the existence of COMSPEC variable, so you have to undefine it (such that it uses : as pathsep). I do it with "COMSPEC= make" at MSYS prompt
- TeX is needed, I have MiKTeX installed; this also provides makeinfo and texi2dvi, but not texi2pdf (Grrr). That's not a big deal as texi2pdf is simply "texi2dvi --pdf". What about adding this to the configure script: if texi2pdf is not found, try with "texi2dvi --pdf"?
- for reasons beyond my understanding, "texi2dvi --pdf" (from MiKTeX) does not handle TEXINPUTS variable correctly, while "texi2dvi" does. The result is that "conf.texi" is not found when building octave.pdf. The easiest is just to type the actual path of the file when requested by TeX (../conf.texi)
- run-octave failed to recreate the figures because it couldn't start the gnuplot process, while pgnuplot was actually in my PATH. I identified the cause as the way how gnuplot is invoked when use_title_options is true. For some (still unidentified) reasons, this does not work. But I could workaround it easily by undefining DISPLAY, as in "DISPLAY= make". However, and that's the funny part, you cannot set COMSPEC to an empty value to build the images, as in the second point, otherwise octave is unable to start pgnuplot as sub-process. So either you run a suite of "COMSPEC= make" and "DISPLAY= make" up to the next error. Or you can use the texi2dvi from the MiKTeX package, which does not require COMSPEC set to empty. As a 3rd solution, you can simply forget about the COMSPEC setting and just type "../conf.texi" when texi2dvi/pdf fails to find it.
Once you have worked around all problems, you can build the doc "pretty" easily... :-)