First I thought that possible reason was that I have used Export toolchain "Keil uVision4" because there is no uVision5 option, but in KeilMDK v4.6 it does not even compile (reports bunch of errors), maybe it does not support STM32F401RE like KeilMDK v5.1.
I have installed additionally "Keil.STM32F4xx_DFP.1.0.6.pack" and Flash write in MDK5.1 works fine now.
Now I am able to debug program, and I see that it works fine until the following code line was reached: "wait(0.2);", and execution stops there forever, so the green LED never goes OFF. If I comment these two "wait" lines, the green LED is lighting with 50% intensity.
I have imported "Nucleo_blink_led" to the online compiler, made .bin file (7560 Bytes), copy it to the Nucleus STM32F401-RE board, it works fine (green LED blinks).
Same example Exported to Keil format. I have used KeilMDK 5.1, It does open fine. It compiles fine and makes "Nucleo_blink_led_NUCLEO_F401RE.bin" (7572 Bytes). But when it is copied to the Nucleo board, green LED does not blink.
ps. Flash loading from Keil does not work ether (Debugger - Cortex-M Error: Flash\STM32F4xx_256.FLM "Cannot Load Flash Device Description !").