Okay here is history behind my problem.
I changed my name on facebook, but Rock Band World was still using the old one.
Harmonix support told me to erase RBW app, get it again and link my account with Blitz.
Now Rock Band World sees my new name, but I can't connect to Rock Central in Rock Band Blitz : "The Rock Central service is not avaible. Try again later" - so I can't play the game (and get that linking code)!
To make it even stranger Rock band 3 connects fine.
I already opened another ticked for support, just want to warn everybody -
don't erase your Rock Band World application from facebook because you wont be able to play Blitz!
BTW Why in the hell it checks DLC before trying to connect? Game checks it everytime when it fails to connect to Rock Central - with few hundreds of it it take some time before it tries to reconnect...