Thank you very much! It is solved. The documentation confused me at some points.
Short summary for users with same problems in future.
- "You don't have to create subdomains or subfolders manually.", this sentence is wrong, at least in my case for sub-domains. My server catalog is not in "var/domains/main_domain.com/public_html" and I did not find it at all. In cPanel I created "sub_domain.main_domain.com" and used "main_domain.com" as folder. I believe cPanel wrote it to somewhere like "/home/USER/main_domain.com/public_html", but no additional file manipulation was necessary.
- The examples of Physical URL (www.example.com/my-store) and Virtual URL (www.example.com/my-store/shoes) are confusing, in my opinion. If the installation is in "www.example.com" (which I believe is so in 99% of the cases) and the new store should appear in "www.example.com/my-store", than leave the Physical URL blank and only fill "my-store" in Virtual URL.
- If the administrator is logged in, there is no need to login again for using the "Enable store for logged-in employees" feature, if it is in a sub-folder (example.com/my-store). If the additional store is in a sub-domain (my-store/example.com), a new login is necessary, using same user and password and the similar login path like initial shop (if initial shop example.com/ADMIN, then my-store.example.com/ADMIN).