Once again, i almost found out what it is. The macro wont run if you create new document out of Word template over the another Application (not directly from Word). From Word directly, macro is working!

For example:

ApplicationX is using it's own fields. So, i basically fill out the fields, klick to print, after klicking the print button, Word generates a new filled out file from Word template over the ApplicationX. The Word form opens, but the macro is not working. I see it because the form fields are not filled out.

The whole stuff did work fine in Word 2003.