I never tried such a configuration and I don't know if this can work. Can you please check if the RAID is already assembled before setup-storage starts? I'm not sure if setup-storage can handle an already running raid, or if it wan't to detect the partitions and the reassembles the RAID itself.
There's a kernel cmdline option for dracut, which boots the FAI environment (option callled rd.auto=1) which can enable building the RAIDs. -- regards Thomas