Well, my previous assumption was only partially right. In post above I managed to get version without skybox working, but I was investigating it for the last two days and I find why it actually doesn't work with skybox.
- Render scene to texture (msaa x2)
- Render skybox
- Resolve texture
- Present
After resolve step, render target is black and just black screen is presented at the end.
However, when I am not using msaa it works without problem. When I am not using skybox, it also works ok. Problem is that I don't know how to use MSAA with skybox. I am using CreateDDSTextureFromFile for importing .DDS skybox file.