Sorry for talking to myself :-). We managed to resolve the issue - the cookie was bigger than 4K. I had to debug shiro-web since there was no warning whatsoever and browser obviously just ignored the cookie.
This issue is nicely explained here: http://shiro-user.582556.n2.nabble.com/Remember-me-problems-with-object-in-SimpleAccount-td4817122.html I hope this will help someone else. Regards, Lidija