Turned out it's a known iPhone OS 3.0 defect, almost two years old! No idea why it hasn't been fixed by Apple. Maybe old SDKs are not supported on purpose, which does make some business sense.
How to fix: Go to your Xcode project, select project info, go to Build tab and search Base SDK. Change your project Base SDK to 3.1. I had there 3.0, which seems to be a known defect.
- Build - Clean All Targets - select all - Clean
- Build - Build and Analyze
- Run - Run with Performance Tool - Leaks
- Open popup item with application name - Launch Executable - Choose Executable
- Browse to your Build directory and select your application
- Record (the red Dot button)