Hi Beata,
this seems to be a bug. You can check whether you have a dump on the back-end (transaction ST22). If not, the catalog service to read the planning enabled basis providers may not work for some reason.
BPC embedded models are based on planning enabled BW InfoProviders, not aggregation levels, cf. the concept document:
http://scn.sap.com/docs/DOC-58899
One remark to:
"Thank you for your replay. Indeed my comprehension was wrong, cause I though that from now I will be able to create BPC model from any BW Cube structure, as template."
In the embedded model you are directly using BW InfoProviders.
In general I recommend to upgrade to SP09.
Regards,
Gregor