Hi Alexey,
I used the following settings:
Dense Point Cloud - Medium with moderate depth filtering ( also tried low and high and got same results)
Model - Used height field with dense cloud, with a high face count
Export DEM - exported using as given pizel size values of 0.12m
I tried this in the version 1.1.6 version, as well as the new beta release, and also changed a number of the parameters as above, and it all gave me similar results.
I also tried just exporting the Dense Point Cloud and create a surface in third party software, and it had the same issue. So it seems like it is happening directly from that step.
Kevin