UPD: Resolved!

Not know in details but problem with my local (ISP) DNS server. When I start bitcoind with local DNS - it fails to shutdown all time.
When I change DNS to 8.8.8.8 - and start bitcoind - shutdown works ideally!

Maybe my ISP blocks something etc. I just don't have time now to explore this question. Maybe later. For now I just changed to use 8.8.8.8 in my local net and problem gone!