Solved it myself at the end. There are some problems with older version of ModBus (which I used in previous example 1.12.0). It does not work well.
I have found that there is new version of ModBus, but it is not listed in paper UI by default.
To download new version of ModBus you should follow this instruction - https://community.openhab.org/t/modbus-openhab2-binding-available-for-alpha-testing/27657
- Download Eclipse IoT Marketplace add-on using paper UI, it is in the MISC tab.
- Do not forget to restart openhab after install.
- Install ModBus transport binding add-on using paper UI.
- Do not forget to restart openhab after install.
- Install ModBus binding add-on using paper UI.
- Do not forget to restart openhab after install.
- Now you can set up your modbus master device in paper UI by adding things.
It worked for me, but took too much time to understand all this information, because first of all I did not know about Eclipse Marketplace. Wish good luck to everyone!