I have found the solution. I needed to add player
to panel's controls and set the player size. Here it is, if anyone will ever need it:
player = new VlcControl();
panel1.Controls.Add(player);
player.BackColor = System.Drawing.Color.Black;
player.ImeMode = System.Windows.Forms.ImeMode.NoControl;
player.Location = new System.Drawing.Point(0, 0);
player.Name = "test";
player.Rate = 0.0F;
player.Size = new System.Drawing.Size(1024, 768);
Vlc.DotNet.Core.Medias.MediaBase media = new
Vlc.DotNet.Core.Medias.PathMedia(@"path\movie.avi");
player.Media = media;
player.Play();