Solution from gog support:
Please reinstall Microsoft XNA 4.0 Refresh: https://www.microsoft.com/en-us/download/details.aspx?id=27598
If above will not help, then please do not undo it. Instead please follow these steps:
1) Please make sure that you use "Run as Administrator" to install and to start the game (right-click on the shortcut or setup file and select "Run as Administrator"). If you are running the game via Galaxy, you can skip this step.
2) Please reinstall the game AND add it to your anti-virus/firewall software's exception/trusted list. Simply disabling firewall or AV software could not be enough, since some of these software are running still in background or in services list. If you are using Galaxy, then please add Galaxy as well.
3) Please download and reinstall DirectX Web Installer: https://www.microsoft.com/en-us/download/details.aspx?displaylang=en&id=35
Please have in mind that this will only add DirectX 9.0c to available pool of DirectX libraries, and it will not overwrite your other versions. Some games are not able to utilize newer DirectX libraries, and they require DirectX 9.0c.
4) Your DxDiag report shows that you're using an integrated Intel video device. Please go to NVIDIA Control Panel and there to Manage 3D settings. You should be able to select the NVIDIA card as the preferred device. If this will not help to run the game, then please create a custom profile for the game to use GeForce as preferred device.
After that please update your graphics devices drivers: http://downloadcenter.intel.com http://www.nvidia.com/Download/index.aspx
5) Please make sure that DEP (Data Execution Prevention) is using its default setting. To do this, follow these steps:
I) Open Menu Start
II) Right click 'Computer' and click 'Properties'
III) Click 'Advanced system settings'
IV) Open tab 'Advanced' and click 'Settings' in 'Performance' section
V) Open tab 'Data Execution Prevention'
VI) Change DEP setting to the first option (Turn on DEP for essential Windows programs and services only)
VII) Confirm with OK.
Gonna try this later. Maybe it will help to some of you folks.