C:\Users\админ\Documents\VVVVVV\levels ("админ" is russian for "admin")
I forgot to mention, that I'm currently not in home town and playing game on old laptop. But the same problem was even on new PC, where full path to levels folder is C:\Users\Admin\Documents\VVVVVV\levels. So I'm not sure if the prolem is in using cyrillic letters in username.
I've checked if level files appear in folder while I'm saving map. Yes, new file appears, when I'm saving it first time.