So, what I did is:
I applied Masterspread A to page 4 and Masterspread B to page 5.
I changed the margin in Master B, just in Master B. (by rightclicking on Master B and choosing Spread Properties.
On spread 4/5, the baseline grid is not displayed, correctly. It still is the baseline grid from Master A.
On the next pages, baseline grid is displayed, correctly.
How to heal the situation? Changing the Margin in Master A, accordingly.
BTW: There should be a button displaying all the Masters on the pages the way you can see in my screen shot. It is very cumbersome to mousover the spreads and decipher a tooltip. Why not taking PagePlus as a role model?