Hi guys,
thank you for all your valuable hints. The problem looks to be sloved.
TL;DR - I installed and then uninstalled USB Charger Plus software.
Longer story:
Originally, my rog didn't came with pre-installed windows, however I after 2 days I needed to send it to service on warranty, since DVD stopped opening. And it came back with installed Win10 Home by Asus. However, in the meantime, I bought m2 SSD and installed my private Win10 on that drive, formatting the disk with Asus-installed Win. As it was pure Win10, I was installing drivers and software directly from website, choosing which one to have. USB Charger seemed usless for me, so i skipped it. But probably it was installed previously on the windows-by-asus image, so it added some settings to bios to power-up usb when off and on battery. At first, when I discovered the loosing power issue, USB Charger was my first hint, but since I didn't have it installed, I moved on searching for other resons.
Unfortunatelly, I didn't check before installing sofware if my rog would power some device when on battery and shutdown...
Perhaps if someone will have similar issue or is willing to format his laptop, could check it and confirm, that even though you don't have USB Charger Installed now, previous installation "forcly" removed from laptop messes something.
Again, thanks for your help, I'm marking topic as [SOLVED].