Hi @Oleg Tserkovnyuk,
Welcome to Microsoft Q&A!
Based on the information you provided, we have tested the same command in several different tenants. It all returns the same result as you. We consider this could be a backend issue since we all have the sufficient permission but cannot perform this operation.
However, you could add eDiscovery Manager via Compliance portal (https://compliance.microsoft.com/)
Also, you could consider adding the user as eDiscovery Administrator instead of eDiscovery management with Add-eDiscoveryCaseAdmin command as below.
The primary difference between an eDiscovery Manager and an eDiscovery Administrator is that an eDiscovery Administrator can access all cases that are listed on the eDiscovery cases page in the compliance portal. An eDiscovery manager can only access the cases they created or cases they're a member of. You can decide based on your specific situation.
If there anything else I can help, please let me know.