@KBird, hahaha, found it. I have checked each component once again and nothing. Being quite resigned I decided to check Warthog stick (I know, it was waving a dead chicken...). So I unscrew the grip and plug it to female connector of PS/2. Of course... nothing, it's dead. So I turned the grip upside down to unplug it...
"Hmmm... WTF? How is it supposed to work? One cable is not connected at all! OMG, the other are soldered to wrong pins!"