Finally solved that. I didn't notice that VSCode reported that paths provided by configurationProvider. .

In my case it was cmake. But it was not correctly configured, it didn't know about Yocto SDK and provided system include paths for VSCode.
The problem has been solved by disabling CMake extension for this workspace and removing the

"configurationProvider": "ms-vscode.cmake-tools",

parameter from the c_cpp_properties.json
Now i have correct paths for include files and no red underlines for my includes.