Finally got the debugger working! You were right, Zapta, the problem was related to usb driver and that it could be resolved by Zadig tool.
I found answer to my particular problem in this forum: libusb_get_string_descriptor_ascii() returns always LIBUSB_ERROR_NOT_FOUND -- libusb0.sys only · Issue #761 · libusb/libusb · GitHub
And the problem was that for the debugging JTAG interface, that is “Interface 2” I was using “libusb0” driver. When starting to use “libusbK”, the debugger started to work. This was the relevant text from the linked forum:
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Take note it is not recommended to use libusb0.sys with libusb Windows. It is mentioned in the wiki.
Windows · libusb/libusb Wiki · GitHub
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Well, that was hard… 