Thanks for input Eric. Here is what I do - open the RAW file in PS CS, Camera RAW pops up, I adjust all settings as needed, then I simply click Save and Save As... dialog pops up and I save the file as JPEG. After that when I check EXIF data in Acdsee it's all gone... The only data left there is colorspace, software and resolution.
However, if I check EXIF with PS (i.e. go to File Info and then Camera Data tab) it shows me some data. Like it's stored elsewhere but not in the file itself.
P.S.: I tried another thing now... If I save image as TIFF it successfully transfers all EXIF data to it. So looks like the problem is with JPEG only...