Why this was happening is specified here: http://kozmic.net/2009/03/20/castle-dynamic-proxy-tutorial-part-viii-interface-proxy-without-target/
Krzysztof explains that you Castle can resolve even an interface, and Windsor will create a class for you. However if you want to use an interceptor and call a invocation.Proceed() method you need to specify what happens inside that method (for ex. using lambda expression)
Solution: In my case solution was to put all installers into one, except of the interceptor installer. That one could stay alone, and eveything was fine.