SOLUTION!!!
Just wanted to share that I seems to have resolved this issue.
When you are making changes to not inherited components and facing issues similar to described above (Component does not save meshes, textures, materials, Projectile classes, etc.) you need to READD problematic component - AND (!) compile blueprint (class) on every step.
First time I tried it - it did not work for me because (I think) I have missed second step (Compile after deleting problematic component)
Also I have switched to 4.22 - this issue was still present before I have took steps above.
Take care everyone, and happy developing!