By chance I also found that SPB Weather is able to download updates in normal way (i.e. through Active Sync).
I have tried to reinstall Active Sync, delete and create new pda-pc partnership, restarts, adding [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows CE Services] "AllowLSP"=dword:00000000 which I found as possible solution for this problem, but nothing helped me.
Still the same problem no matter if I am Active Sync connected by USB or BT.
I would really appreciate any kind of help.
Now I tested some other programs, too.
Palringo, Skype, Spybot S&D update - are using Active Sync (proper way)
QIP, Live Messenger, Resco Radio - keep dialing GPRS
I really have no idea how to fix that