Thanks for your reply.
I have passed through the installation again and I received this message:
During startup - Warning messages:
1: Setting LC_CTYPE failed, using "C"
2: Setting LC_COLLATE failed, using "C"
3: Setting LC_TIME failed, using "C"
4: Setting LC_MESSAGES failed, using "C"
5: Setting LC_MONETARY failed, using "C"
[R.app GUI 1.71 (7827) x86_64-apple-darwin17.0]
WARNING: You're using a non-UTF8 locale, therefore only ASCII characters will work.
Please read R for Mac OS X FAQ (see Help) section 9 and adjust your system preferences accordingly.
I couldn't find the information in Help section what exactly should I change.