Update: this feature is back on Android 6.0.1 (source).
With Android 6.0.1, the "until next alarm" feature makes its triumphant (or rather quiet, I suppose) return. Good to know!
So first, am I missing something obvious and that option is still there?
It seems you're right. I have checked on Nexus 5 running Android 6.0 Marshmallow and there are only 2 options: Until you turn this off, and For x amount of time.
And second, If this option was indeed removed, is there a more 'advanced' way of getting the priority mode to end after my next alarm?
If you have Tasker (paid), you can have the same behaviour as the one on Android Lollipop.
- Create a profile for alarm clock
- On Profiles tab, tap + button
- Select Event - Date/Time - Alarm Clock
- Press back to finish
- Create a task to turn off Priority mode
- Select New Task on the pop-up (or from Tasks tab, tap + button)
- Input the task name (e.g. "Turn off DnD", optional), then tap the checkmark
- Tap +, select Audio - Do Not Disturb
- For Mode, select All (this means "allows all interruption", which is the same as turning off Priority mode)
- If this is the first time using Do Not Disturb, Tasker will prompt a dialog box to turn on Notification Access. Select Yes, tap Tasker to enable it, and select Allow.
Basically this will make all alarms to turn off the Priority mode. If you want to refine the time (e.g. for specific alarm at 6am on weekdays), you can add other contexts (e.g. Time and Date) by following How to create a profile with multiple context in Tasker?