In order to receive email directly in inbox, Please set user alias exactly same as your email.

For example, if someone sends an email to user@domain.com and if you want to show that email in inbox of user "X", then set alias of user "X" to user@domain.com. 

I hope this will solve your issue !

Thanks for response, Emipro.

You mean Settings > Email > Aliases ? 

Now I've created alias (dublicated _usertemplate) with options:

Aliased Model : Users

Record Thread ID :  4

Default Values  : {}

Alias Contact Security : Everyone

Owner: my username

Parent Model : Users

Parent Record Thread ID: 4

When I run test, logs show, " Fetched 1 email(s) on imap server CatchAll; 1 succeeded, 0 failed." But it does not appear in Inbox. Only when I send second email from same email I get thread of two new messages - that, which was not shown before, and the new one.

One more questions - if I create new alias, instead of dublicating _usertemplate, I can't select Aliased Model Users, because it does not exists. .

Can you please explain me more about how to create alias ?