I found one pattern:
There are two ways to specify source (DB2)
Specify table or view and just select it from the list. In this case access mode is OpenRowSet
Specify QUERY and then enter SQL statement. In This case access mode is SQLCommand.
Case ‘a’ always works.
It is the case ‘b’ that produces the problem. It looks like at some point Pre-Execute step can not get some info (catalog or else?)