Hi, Alice!
Thank you for a detailed reply, I think it will help other people.
I have no PEmicro debugger, it's only about $150, but my local shipping is 3 weeks(
But I solved the problem:
I thought of generating a binary file and found this post:
How to convert .elf files to .Sxx or .Bin files
Grate thanks to ZhangJennie for his video!
1) In "native" project properties->C/C++ Build->Settings->Toolchains(tab)
Enable flash image generation and apply.

2) In previous tab (Note! SDK different from video)
Enable hex and Berkley(default for me) format, apply.

3) Then simply Build or Debug.
If debug, the alert will appear again but anyway .hex will be generated properly.
So here is our .hex now.

4) Open J-Flash lite utility:


4) Select our target device (Important, certainly - allow security)

5) Then again OK:

6) Next window - select our .hex file.

7) Program device.

So now FTFA_FSEC regiser replies:

FTFA_FSEC [1:0] - 00 first secured optional from (b00, b01, b11) - as ordered.
I repeated flash program and got the prove:

I Think now all is really OK.
PS: After Mass Erase and reprogram previously secure device, unit was hanging.
Just reboot in this case, firmware is actual and security enabled. Terminal replies - true.