Every time I connect one video with another, a simple transition is created.
And it seems logical to me if I could drag&drop another transition from menu, and it will replace previous one.

Agreed! I don't think this would be too difficult. I'll try and get to this soon, unless someone else beats me to it. =) Thx!
+1
I'd be happy to beat you to this but I have no clue even how to start.
Thank you so much for submitting an issue to help improve OpenShot Video Editor. We are sorry about this, but this particular issue has gone unnoticed for quite some time. To help keep the OpenShot GitHub Issue Tracker organized and focused, we must ensure that every issue is correctly labelled and triaged, to get the proper attention.
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Agreed! I don't think this would be too difficult. I'll try and get to this soon, unless someone else beats me to it. =) Thx!