Found out that when action
"FX: Set MIDI learn for last touched FX parameter", ID 41144
is mapped to the keyboard key, it works fine, but when it's mapped to an OSC command, assigning isn't possible. The window is showing up, but not reacting to the incoming messages, neither OSC or MIDI.
The following video shows 3 ways of "Learn" calling:
1. From "Param" menu.
2. By keyboard button shortcut.
3. By OSC command.
Note: for each time, physical pot is rotated right after "learn" was called.