I found it!
My global settings for mswincotext work now, and here is the reason they failed before. I copied the pathes to temp dirs from the .bat file output, where they were DOS-truncated, e.g. c:/DOCUME~... Those tildes were expanded by luatex as \CCC, so that lua failed to reach temp dirs.
I just wonder how intolerant it was not to warn user about this occasion.
Now I'm in progress of creating an installer for mswincontext. At the moment it is a stand-alone .exe file that sets up global envinronment variables. In principle, I can even create full installer, which would be very appealing to Windows users.