It appears to be down to the Play Alarm In Silent Mode setting, although the behaviour doesn't seem logical.
With it enabled & phone already set to priority only, when the alarm sounds, Do not disturb is disabled, then once stopped, it Toggles to Alarm only mode.
If I disable the play alarm in silent mode option & DND is set to priority only, the alarm plays fine & the DND mode remains on priority mode throughout.
So I do have a workaround at least, but a bit confusing.
Still would like to have the silencing Lullaby to reduce just media volume & not notification volume too.
I see in another discussion, lollypop didn't allow SAA to turn on silent mode so something must have changed in Marshmallow.