I've got it!!!!! There is no more 'cubic' scale keys error!!!!
I desided to search XSI help documentation using word "cubic", as a result I got a lot of articles and among them I found something interesting. It was "Export Crosswalk Options" and in that article there was information about animation resampling and types of interpolations which included FCurve Interpolation, Constant, Linear and Cubic. I thought that something like that could be in XSI export options. So I looked closely to XSI export options and found that they were more then I first saw, I just didn't scroll down. So I found there Animation Filtering, turned it on by checking 'Plot' and changed interpolation to Linear. Now it all works, and animation plays as it should. I'm so happy
Now I'm going to create full skeleton and animation...
I told my friend all your advices and I'm going to wait his results. So I suppose it's not my last post here.
Psyk0Sith, thank you very much for your help!