It looks like I had stale libhlslcc.a file - I thought that doing “make clean; make” in Engine/Source/ThirdParty/hlslcc/hlslcc/projects/Linux is sufficient to rebuild libhlslcc.a and link with this new version.
But after rebuilding libhlslcc.a it has to be copied from Engine/Source/ThirdParty/hlslcc/hlslcc/lib/Linux to Engine/Source/ThirdParty/hlslcc/hlslcc/lib/Linux/x86_64-unknown-linux-gnu/
When I did this, current version of CCT didn’t show “Bad hlslcc header found! Missing ‘#’!” error and UE4Editor was able to generate all GLSL files.
So this bug report can be marked as resolved.