After investigation we have found that Saxon 9.6 HE does not support xslt 3.0 as we assumed earlier.
On Saxonica site it's written: "Support for XQuery 3.0 and XPath 3.0 (now Recommendations) has been added to the open-source product."
As one can notice no xslt is mentioned.
More details are on open-source 3.0 support.
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