Thanks guys.
So I guess the problem is with the special characters. In my case, I installed it in my steam directory, which is in #Games directory. I use the # prefix so I have the most important folders right at the top.
I installed it in a folder without any special characters and now it works and my character has ugly guy as a portrait:D
I wonder if it's a problem of a Unity engine. Shadowrun Returns also runs on Unity and at the launch I had a similar problem, even though it was much worse. In the case of SR I didn't see a menu, so I couldn't do anything. Installing in a directory without special character also helped in that case.
Interesting thing.
Anyway, back to that lovely game <3
Have a nice days with PoE:P