Cognito does not call CreateAuthChallenge trigger

I'd like to configure custom authentication flow with AWS Cognito so I used this and this instructions to do this. Previously, I configured password authentication with a possibility to specify a user email or phone number as a username with sending confirmation codes via custom sender triggers and it worked fine. But then after adding custom authentication triggers I realized, that there is no CreateAuthChallenge call - only DefineAuthChallenge. So what I have now:

1. I call InitiateAuth with the following body:

{
    "AuthFlow": "CUSTOM_AUTH",
    "ClientId": "{{client_id}}",
    "AuthParameters": {
        "USERNAME": "{{username}}",
        "SECRET_HASH": "{{secret_hash}}"
    }
}

2. The response of this call is:

{
  "ChallengeName": "MY_AUTH",
  "ChallengeParameters": {
    "USERNAME": "59edb46e-...-8f74a7084057"
  },
  "Session": "AYABeC...jA_TyA"
}

3. At the same time in the logs I see only one lambda call with the following event as an argument:

{
    "version": "1",
    "region": "me-south-1",
    "userPoolId": "me-south-1_...",
    "userName": "59edb46e-...-8f74a7084057",
    "callerContext": {
        "awsSdkVersion": "aws-sdk-unknown-unknown",
        "clientId": "44v...bp"
    },
    "triggerSource": "DefineAuthChallenge_Authentication",
    "request": {
        "userAttributes": {
            "sub": "59edb46e-...-8f74a7084057",
            "cognito:email_alias": "devops@example.com",
            "cognito:user_status": "CONFIRMED",
            "email_verified": "true",
            "email": "devops@example.com"
        },
        "session": [],
        "userNotFound": false
    },
    "response": {
        "challengeName": null,
        "issueTokens": null,
        "failAuthentication": null
    }
}

According to the docs right after this event I should see the event for CreateAuthChallenge trigger but I see nothing.

The trigger that is called for those events has the following code:

import json
import requests

def handler(event, context):
  print('### EVENT ###')
  print(json.dumps(event))

  source = event.get("triggerSource", "unknown")
  sessions = event.get("request", {}).get("session", [])
  if source == "DefineAuthChallenge_Authentication":
    event["response"]["issueTokens"] = False
    event["response"]["failAuthentication"] = True
    
    if len(sessions) == 0:
      event["response"]["issueTokens"] = False
      event["response"]["challengeName"] = "MY_AUTH"
      event["response"]["failAuthentication"] = False
      print(json.dumps(event))
      return event

    if len(sessions) == 1 and sessions[0].get("challengeName", "") == "CUSTOM_CHALLENGE" and sessions[0].get("challengeResult", False) and sessions[0].get("challengeMetadata", "") == "MY_AUTH":
      event["response"]["issueTokens"] = True
      event["response"]["failAuthentication"] = False
      print(json.dumps(event))
      return event

    print("unexpected sessions sequence: ", sessions)
    return event

  if source == "VerifyAuthChallengeResponse_Authentication":
    event["response"]["answerCorrect"] = False
  
    return event

  print("unexpected triggerSource: ", source)
  return event

Please advise what I can do to make Cognito calling CreateAuthChallenge trigger to pass public and private data according to the docs.

Thanks!