Aha…
This is an issue of chromedriver.
The relevant conversation: Did not get session redirect from Chromedriver (here woraround is described)
The issue https://code.google.com/p/chromedriver/issues/detail?id=845 is already fixed. You have to replace chromedriver at appium directory (its version 2.10) to new chromedriver (2.13). You can get it here: http://chromedriver.storage.googleapis.com/index.html?path=2.13/
Actually Appuum will use choremedriver 2.13 when 1.3.5 will be released.