Thanks to all for the help and for providing info and links. It was quicker than Shelly Support 
I did the following.
- Get the heater, consuming at least 500 W. It is purely a resistive constant load.
- Disconnect clamps CTA and CTN, keep measuring wires (IA, IB, IC, IN) as it is (voltage stays on phase almost identical).
- Choose live wire L1=A phase leading from the distribution board to the chosen electrical circuit with a socket used for the heater.
- Clamp "CTA" and "CTN" over this live wire L1=A
- Limit other interfering loads: no other active consumption on the chosen electrical circuit - best to take down all other MCBs (miniature circuit breakers) and unplug all other appliances within that chosen electrical circuit.
- Turn on the heater
- Calibration can be made either via a local web interface or via the Shelly app:
- a) Calibration via local device web
- at Home page (http://<local-IP>/#/) click on any phase name, say Phase A, because that opens a hidden invisible window (http://<local-IP>/#/em/0/overview)
- click on Settings
- click on Phase to phase calibration
- first, reset calibration for "N", via Phase calibration reset - you can choose only Phase N
- second, perform calibration, via Phase to phase calibration - choose source, say Phase A in Calibrate from, and target, say Phase N in Calibrate to
b) Via the Shelly app
- Choose the Shelly device, and click on its Settings
- First, reset calibration for "N", via Phase calibration reset - you can choose only Phase N - and press Reset
- Second, perform calibration, via Phase calibration - choose target, say Phase N in Calibrate phase, and source, say Phase A in From phase; click on Calibrate
How to check that "N" is working?
"N" is not available in the Shelly app. It can be found in the local web interface only.
- At Home page (http://<local-IP>/#/) click on any phase name, say Phase A, that opens a hidden window (http://<local-IP>/#/em/0/overview)
- In Overview, find Diagram view
- Look for a clamp picture named TN, it should show number values (when not working properly, the TN clamp shows N/A)
Via the command line, it can be verified with the help of the local EM.GetStatus API method.
curl --silent --request POST \
--data '{"id":1,"method":"Shelly.GetStatus"}' \
http://${SHELLY_IPV4}/rpc | jq '.result."em:0".n_current'
If Home Assistant and Shelly integration is used, then a new sensor appears, with the suffix _phase_n_current.
Example when it works
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Example when it doesn't work (it looks identical when the clamp "N" is not connected at all)
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