Ah. Sorry I after hours of testing I traced that the problem is related to directory. Apparently Musicbee doesn't like symlink very much.
It was with last few updates that I made change to MB directory, that I launched it via taskbar pin shortcut-> Musicbee.exe (C: symlink) -> Musicbee.exe (actual .exe at D:)
Now when I set the shortcut right to actual .exe the problem just gone.