That was view axis. Can be closed.
Settings: I made factory reset and turned on emulate 3 button mouse. Completely clean Blender without anything changed still has this feature...
Issue: I want to turn off Blender behavior: Alt+ Middle mouse button drag, which is causing the viewport to snap to front/top/left/right orthographic view. I don't want this snapping feature.
And it seems it can't be turned off (Image 1) 3D View -> Rotate View -> View3D Rotate Modal, changing, disabling or clicking X doesn't change anything so it's maybe not this one setting
Changing Rotate View - and picking Alt key (Image 2) changes normal rotation of viewport to Alt + middle mouse and this snapping feature to Alt + left mouse button (I'm using emulate 3 button mouse).