The problem for the scene was that the water was set to invisible for GI, and also as not shadow casting. Once I enabled these options, the caustics appeared, but they don't really do anything interesting - the light sources just produce quite a bit of ambient light, which is not focused anywhere. If I create a single small sphere light and add some more interesting bump pattern on the water, I can get something more interesting, but I guess that's not the point 
Best regards,
Vlado

Best regards,
Vlado
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