I know replaygain information is stored lossless in FLAC, Monkey and Wv using tags.

I assume analogue playback through a high end sound card should be nearly lossless.

But playback through plain 16 bit PCM SPDIF is not? Volume is not seperate from audio data so the data is changed. Applying -6dB should reduce resolution to about 15 bit?

My soundcard (cheap Intel Integrated) outputs 20bit PCM via SPDIF. Does this change anything?
Should I use 20bit setting in foobar2000?
My external DAC can handle 24 bit PCM - should I get another sound card and use 24 bit setting in foorbar2000?

If playback is set to use replaygain values, it is not "lossless," the same input will have less amplitude than the original. Replaygain is lossless in the fact that it does not modify the file, the decoder just uses a value to change volume during playback.

http://www.replaygain.org/faq_noise.html

So I just buy a new sound card that supports SPDIF PCM 24bit/44k and set output in foobar2000 to 24bit?

A 24bit soundcard probably won't make the changes ReplayGain makes completely reversible (depends on what exactly it does to the values), but if you feel 16 bits aren't enough in this case, then by all means go buy a 24bit soundcard. I'd recommend actually listening to the 16bps output first btw.

Slightly offtopic and probably stupid question:
How to apply replaygain with Monkey's Audio ?
FLAC has a built-in replaygain and one just needs to check the according box. I can't see the same in Monkey.