I finally found the problem: it was the connection between the potentiometers and the PCB (I used new connectors, but they are not good, so finally I soldered the wires to the PCB).
Modifications in comparation to my previous build:
1. Used 12V zener (I run out of 10V zener)
2. C3 is also 1nF, but it is not ceramic disk, now it is MLCC
3. 3n3 capacitor, initially it was ceramic disk, now it is film capacitor (it has green color)
4. I used new led's
5. I used LM258 from TI, to check if the PSU works good with it
6. I used new pots (both for current and for voltage)
7. All other components are new, except the LM317 and filter capacitor
8. I used 1x 4700uF/63V in parallel with 3x 2200uF capacitors and a 6A rectifier
9. I used TIP35C as power transistors, and BD244CG
Test:
1. Vout=10V, I=2.89A, Rload=10R
107_000, 107_001
2. Vout=20V, I=2.89A, Rload=20R
107_002, 107_003
Output of LM317: 107_004
Output of Tl431: 107_005