@renier: The original antenna and the new shark fin both have built-in amplifiers. Now that I've removed the original antenna I can say they're both even from the same manufacturer (Calearo)!
It's true that the shark fin's reception is poorer than that of the original due to its physical properties, but then on the other hand a college of mine has just the sort of a shark fin antenna on his new Saab 9-3 and has no problems with the quality of radio reception whatsoever, so I'm hoping that will be the case for the Megane as well.
Anyway, now I've fitted the new antenna so here are some pics.
First I removed the old one, noticed there was already some oxydisation in the antenna base so already that will have weakened the reception:
When I removed the connector to the antenna amplifier I noticed the connector had slightly oxydised as well. Funny as there were no signs of water leakages. Maybe it just gets damp from condensation between the roof panel and the roof lining, when the cavity gets alternately hot and cold depending on sunshine? Here are the connectors:
When I disconnected it I measured it for voltage with the radio on: 0V! After cleaning the spade connector with some electrical contact cleaner spray it started reading 12V, so the poor radio reception was probably just due to the amplifier not getting any "juice"!
Next I undid the antenna cable's connector at the C-post:
With the old antenna removed from the car I could compare the old (left) with the new (right):
Unfortunately the new antenna's cable is about 60 cm too short!

So I'll have to buy an extension cable on Monday before I can listen to radio with the new antenna...
Before fitting the new antenna I coated it's base with some special grease originally meant for battery terminals to keep them from corroding. It's supposed to be conductive so I guess it should work here, too, hopefullly preventing or at least delaying oxydisation:
Here a final shot of the new antenna fitted on the roof. Sorry for the blurry picture but hope you'll get the idea:
I'll post some notes on the quality of the reception once I get the extension cable.