I use Cakewalk and Reaper. The problem is that pure midi sequencing software is not easy to find, these days. Most software is aimed at the audio side of the equation: the type of "sound" you use to externalize your midi creation/work.

Reaper is free; and I prefer it to Cakewalk. But every sequencing program has different strengths, and Cakewalk does a few things better--more easily--than Reaper. There are other programs on the market, for example, Cubase, which I've heard excels at sequencing. It's expensive, and it requires, I think, a "dongle" to use.

That is way overhead what I need. I just need to be able to select VST instrument and record it, nothing else.

Let me clarify what I need.
Cantabile Solo is exactly what I need, but it's expensive in my opinion. It costs 69$ which is too much. Cakewalk Home Studio is 50 Euro, for example.
So, if anyone can recommend something like Cantabile Solo...

Hi,

There is VSThost, a free program much stronger on live setup (with interconnected VST) than on pure sequencing
http://www.hermannseib.com/english/vsthost.htm

Does it have MIDI recording feature?

SynthFont is an easy-to-use sequencer, but you can't record incoming MIDI data. You can, however, use the piano roll editor to add/change/delete notes, or you can enter MIDI events in the event list view. Version 1 is free (donationware), but version 2 is not free. SynthFont can be used with various types of soundfonts or sample formats, as well as external hardware devices.

Anvil Studio is a free DAW that can record incoming MIDI data, but you might need to purchase one of the add-on modules if you want to use multiple devices with it.

Some commercial DAWs have free lite editions, although they might be too limited for your needs:

PreSonus Studio One Prime would be a near-perfect free DAW, except that it doesn't let you use third-party plug-ins, nor does it let you use SysEx messages.

Tracktion T5 is currently the free version of Tracktion. (T4 used to be the free version.) It isn't just a lite edition-- it's a full-featured DAW that lets you use SysEx messages and third-party plug-ins (in contrast to PreSonus Studio One Prime). But it doesn't have the features that were added in the later versions (T6, T7, and Waveform).

Zynewave Podium Free is another free DAW that's an older version.

Cockos REAPER is not free, but the free trial isn't crippled in any way and never expires-- it just nags you if you continue to use it past the trial period without purchasing a license. However, the license for a non-commercial home user is very reasonable.