Thank you Wolf-Dieter Fink.
That project is useful to check full functionality of JBoss, to play with Maven, and to check how changes in code could affect results. This project helped me to understand that everything I did I did right.
I've found the answer and it is:
To run remote EJB client application should include following seven one jars:
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All necessary classes should be packed into the bin/client/jboss-client.jar, see the README in that directory.
If there are CNF Exceptions I suppose it will be a bug.
Thank you very much Wolf-Dieter Fink.
Somehow, I've managed to spoil my project, but I started from only one right jar included (and server side project of cause).
I've checked README again and did a try out. Now, everything is working fine.
So, I'm changing right answer.
For non-maven environments only one jar must be used what contains everything client can require (except remote interfaces).
I've noticed that assemled by Maven jar is three times smaller (in context of quickstart project) than jboss-client.jar