In my case there were two problem with my design.
First was about wrong footprint for PHY. I've designed thermal pad with wrong shape, e.g. too big. I've soldered IC manually and probably put too much solder on thermal pad. That must have resulted with small distance between IC pins and soldered down thermal pad. And all of that must have resulted with electrical parameters degradation.
Second issue was about crystal. I've seen clock on REF_CLK but I think it was not stable.
All of that together resulted system was not stable. I had suspicion IC got reset all the time. That's why PHY registers modification doesn't work - still got defaults. But I have no proof for that.
I've corrected thermal pad followed the specification. I've put there slightly bigger vias on thermal pad to allow solder exceeds to have a way to be removed while soldering. But it makes sense only in case manual soldering I guess.
I've replaced crystal with clock generator as well.
All of that made PHY worked fine.
I've requested to manufacture 30 boards. Only one of them presented problems with PHY but it was because of manufacturer put PHY IC 90degrees rotated while assembly process :).