I have solved the problem. Now all checks approuved.
The issue was in the redirect handling after installation though the auth callback route. I have added a redirection to the merchant store. I think this solved the problem.
auth.$.jsx file:
import { authenticate } from "../shopify.server";
export const loader = async ({ request }) => {
const {redirect, session} = await authenticate.admin(request);
let { shop } = session;
let shopName = shop.replace(".myshopify.com", "");
return redirect(`https://admin.shopify.com/store/${shopName}/apps/APP-HANDLE/app`);
};
Thanks for the @Liam-Shopify assistance