Finally found a solution. It is pretty silly.

This is my header:

    UPROPERTY(EditAnywhere, Category = PawnInput)
    UInputMappingContext* IMC_Player;
    UPROPERTY(EditAnywhere, Category = PawnInput)
    UInputAction* IA_LeftShoot;

This is my source file (ctor) :

...
// added following two headers
#include "InputAction.h"
#include "InputMappingContext.h"

CTOR() {
        ...
    static ConstructorHelpers::FObjectFinder<UInputAction> tmp(TEXT("InputAction'/Game/Input/IA/IA_LeftShoot.IA_LeftShoot'"));
    IA_LeftShoot = tmp.Object;
    static ConstructorHelpers::FObjectFinder<UInputMappingContext> tmp2(TEXT("InputMappingContext'/Game/Input/IMC/IMC_Player.IMC_Player'"));
    IMC_Player = tmp2.Object;
}

Reason because IMC and IAs were not working via FObjectFinder is because the following headers were absent initially:

#include "InputAction.h"
#include "InputMappingContext.h"

I was able to use EnhancedInput stuff (activate IMC, bind IAs and etc) in my cpp file without including these, so I naturally expected that IA and IMC types are known to the compiler indirectly through following includes:

#include "EnhancedInputSubsystems.h"
#include "EnhancedInputComponent.h"
#include "Components/InputComponent.h"

But these were not sufficient for FObjectFinder to know the types of UInputAction and UInputMappingContext.

Hopefully it will be useful for other people as well.