So cool! It works now! =)
I've changed to "All searchable fields" in userlist settigs!

Thank you for your advices - now I think my work will be 3 times faster with only one userlist! Great!

Finally I've got my head going round after making days of tryings and researches....
I've tried to use sh404SEF - for creating new dinamic pages it's not bad, though for my goal I have the feeling it would be the same as creating menu items using only one userlist, as I've said earlier.

But the main problem is thetag as I've also said before.... sh404SEF does nothing to add this tag for dinamic userlists, where I addpart to the non-sef url...and I've found no way to do this.

After that I've desinstalled sh404SEF and continued tricking just with the non-sef "Link" in menu items properties (as I've made it activated)... no result.

After that I've tried to install the Falang extension, changed menu structure to only one menu, deleting other language menus (because you need to delete language associations when you used the standard Joomla language system), and it worked -tags were on every dinamic page and you could sitch correctly between different language pages!
I thought that was the correct way to go, but.............. I've read on forums, that while using the Falang extension, the sitemap extensions create bad sitemaps (without using hreflang tag in the sitemap).

Could you please tell me what and how to continue, as I'm stuck for many days with this problem?

Next.... I've heard that using Falang extension isn't so good (it may cause problems in the future, as it's not the original multilanguage Joomla way), so finally I think having found a lifehack:
- I do not use sh404sef - did not find a way to have language assiciated links, to have correct HREFLANG tags indicating same pages in other languages;
- I use Joomla menu items for dynamic lists and language associations between these menu items for each language;
- I use Falang extension just because it adds correctly HREFLANG tags on pages with dynamic userlists, but I still create translations by the ordinary Joomla way (by having 3 separate menus per 3 languages using associations), NOT the Falang way - this is the lifehack I've found.

I explain why I use Falang: Joomla way will create hreflang tags only on existing CB userlists (created in CB Userlists), on dynamic userlists (by using GET parameters like &cb_country=usa) there will never be hreflang tags, even if those menu items are language associated. sh404sef won't help here either.

So like this it finally seem's to be working! And I can have addresses, pages, userlists filtered by country and have hreflang tags correctly included in the code:
What do you think?

krileon wrote: hreflang as Joomlas language filter plugin in Extensions > Plugins should be handling that.

Normally it should, but in fact it works only for existing userslists, but if one wants to use only one userlist by filtering it with GET params (i.e. by adding &cb_country=usa GET param) and using it in menu items with language associations, Joomlas language filter plugin keeps working when you want to change language for the list you are seeing (i.e. from english to french), but HREFLANG tags desappear. This is only in case of using dynamic userlists.

I don't know if it's Joomlas or CB problem... If you can check that, would be nice, 'cause today's impact of hreflang tag is important.

However, as I've told earlier, I've found a little lifhack to this problem.