What values you need to set in NifSkope or in 3DS Max in order to make arrows stuck in collision? Every time when I have made item and put it in the game, shot arrows will only bounce off.

IIRC it is the Penetration Depth setting in the Block Details of the bhkRigidBody that determines how far arrows will penetrate. -- and might also depend on the type of material you chose for the havok (ie. metal, stone do not penetrate -- wood does)