After reading the Implementation Idioms and Best Practices once again I came to following conclusion:
Despite the seemingly redundant event handling in both the mediator and the MXML component it's probably better to dispatch custom events from the MXML component.
Especially possible later changes in the component won't necessarily force a change in the mediator.
Thanks goes to Cliff Hall for his excellent documentation.
When I first started using PMVC I went for option 1. It is mess. Option 2 gives a lot more freedom, versatility, portability, and overall system knowledge.