It seems that I've solved this issue. To get it work:
1. Select checkbox Time Recording and Travel Expenses via CATS for project type. Path: SPRO —> SAP Customizing Implementation Guide —> SAP Portfolio and Project Management —> Project Management —> Structure => Define Project Types
2. Run/schedule a synchronization with the report DPR_CATS_CPR_TRANSF (Transfer of CATS Itemizations to Project Management Application).
Time Recording from a Request for Change to a PPM ProjectTask - Working with Projects - SAP Library
Regards,
Alex