Solution 1:

After some words in the chat, here is the solution:

sudo rm /etc/alternatives/my.cnf
sudo ln -s /etc/mysql/mysql.cnf /etc/alternatives/my.cnf

Why? The file /etc/alternatives/my.cnf has to be a link and nothing else.

That was the error message:

$ sudo update-alternatives --config my.cnf 
update-alternatives: warning: alternative /etc/mysql/mysql.cnf (part of link group my.cnf) doesn't exist; removing from list of alternatives
update-alternatives: error: unable to read link `/etc/alternatives/my.cnf': Invalid argument