Apparently, the problem was caused by the MOSEK license file which was put in a wrong place.
After fixing this, everything runs as expected:
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
| Test| Solution| Solver message|
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
| Core functionalities| N/A| Successfully solved (YALMIP)|
| LP| Correct| Successfully solved (MOSEK)|
| LP| Correct| Successfully solved (MOSEK)|
| QP| Correct| Successfully solved (MOSEK)|
| QP| Correct| Successfully solved (MOSEK)|
| SOCP| Correct| Successfully solved (MOSEK)|
| SOCP| Correct| Successfully solved (MOSEK)|
| SOCP| Correct| Successfully solved (MOSEK)|
| SDP| Correct| Successfully solved (MOSEK)|
| SDP| Correct| Successfully solved (MOSEK)|
| SDP| Correct| Successfully solved (MOSEK)|
| SDP| Correct| Successfully solved (MOSEK)|
| MAXDET| Correct| Successfully solved (MOSEK)|
| MAXDET| Correct| Successfully solved (MOSEK)|
| Infeasible LP| N/A| Infeasible problem (MOSEK)|
| Infeasible QP| N/A| Infeasible problem (MOSEK)|
| Infeasible SDP| N/A| Unbounded objective function (MOSEK)|
| Moment relaxation| Correct| Successfully solved (MOSEK)|
| Sum-of-squares| Correct| Successfully solved (MOSEK)|
| Bilinear SDP| N/A| Solver not applicable (mosek)|
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Thank you for help.