I figured out that IPN URL for recurring payments should be set in Paypal Account settings.
I have found instruction for old Paypal UI https://code.tutsplus.com/tutorials/how-to-setup-recurring-payments--net-30168
But I can't find where to set it in new UI, because it is completely different and it seems like it uses different terms.
Preferences -> Account Settings -> My Sales -> Instant Payment Notifications
https://www.paypal.com/cgi-bin/customerprofileweb?cmd=_profile-ipn-notify