At first I would like to thank a team @WPMUdev for fast response and an invitation to post my issue with post protection part of Membership plug-in here.
Problem: categories protection work if there is a default
permalink structure enabled. If any other or even custom, than this not
protect post under protected category and post is displayed under
blogs homepage (Posts frontpage).
Even when category protection works (default permalink) visitor will
not get no access page, but will get not found message.
I have been exactly followed up your manual @ http://premium.wpmudev.org/project/membership/installation/, and recreate the same installation.
My installation is: the latest WP, default theme, no plugins except membership, and custom permalink structure.
I have read through http://premium.wpmudev.org/forums and found that such topics have been exposed few times, but with no solution given...
A very similar is that one - for reference: http://premium.wpmudev.org/forums/topic/selecting-categories-does-not-protect-posts.
You are welcome to check my testing installation click here.
Please, how this can be solved?