So, configured certificate authentication, downloaded VPN client, installed it, but upon connecting I got error 0x800704c9, the whole error text was "The remote computer refused the network connection. (Error 0x800704c9)".
I clicked properties, viewed the log file but it didn't help too much.
Then I tried connecting to the port 443 (as I had SSTP VPN) to virtual network gateway and the connection was successful.
Finally, I had the magic idea to connect from different computer, and this did the trick. The problems I was experiencing were on Windows 7 and they were gone when connecting from Windows 10 v1803 machine.