You were right!  I didn't understand what you said.

And now I understand that all-in-one MED bfgminer can also work as a proxy, and I re-started it with http option, and started another bfgminer instance (4.4 that recognizes rockminer) with the same user/password, but pointing it to localhost port instead of a pool, and voila, it appeared as PXY0 device in bfgminer 3.10.

Too bad the CPU on that machine is too weak, and immediately got to 100% load with rockminer showing about 3GH/s instead of 32GH/s it does on straight SHA256.

But all is good, at least now I can try rockminer on a different machine and see how it performs there.

Thanks!