Midnight update (well, actually 1 hour past midnight for me):
Memtest-ing a single stick of RAM in slot A1 passed with flying colours.
Doing the same with all four slots filled - I kinda gave up after 3h40m, but no errors during that time and it completed 3 out of 4 passes.
Restarted the system and let it boot from the SATA drive that contained the last failed attempt to install W10. Setup continued and in a few minutes I was up and running in a fresh install, for the first time after this adventurous CPU upgrade.
At this point, wishful thinking got the better of me and I actually thought that the problem is solved and the culprit was the BD-RW drive. Crazy, but not crazier than a issue I encountered ~20 years ago where an Athlon XP system consistently froze because of a faulty mouse
First restart attempt brought me back to reality, though. Instead of restarting it just hung in there with fans roaring. But unlike yesterday, where I was unable to boot again into my old W10 install after the borked restart, today it managed to start the new install each time, and I even got to 4 working restarts in a row before one would fail again. Yay, record!
Disconnected the SATA drive and hooked my NVMe stick to the never-used-before slot (the one that isn't covered by the CPU cooler and I think is also slower... PCIe 2.0 maybe?) and guess what, I'm writing this from my old W10 install while in the background I have 24 'workers' of Prime95, none of which complains. HWiNFO reports 4.6GHz on all cores (isn't that much higher than it's supposed to be?) and a Tdie of around 75 deg.C so far. Also CPU-Z reports core #0 hovering at 4575 to 4600MHz.
All of this won't fool me again, and I'm aware that another 'failure to restart' is just around the corner. I think that's the best description of the problem. At each restart (and I think also at shutdowns) the motherboard spools the fans to the max for 1-2 seconds, and I guess what's happening now with the new CPU is that the process just hangs there.
Or maybe I'm just too tired and this doesn't make any sense and can't really explain what happened the other day where my old install wouldn't boot anymore after working just fine for about two hours.
Anyway, tomorrow I might be able to borrow some RAM from my dad, see if that changes anything.