Update.
Today I connected N to the shelly dimmer 2. I used an external cable for N, just to test whether connecting N would solve the problem.
The result is that the dimming works perfect with the N connected.
My conclusion based on the observations here is:
1. The specific Shelly Dimmer 2 (device and framework) does not work OK with more than one dimmable bulbs connected, without N to the Shelly, using by-pass.
2. The specific Shelly Dimmer 2 (device and framework) work OK with one dimmable bulb, without N, using by-pass.
3. The specific Shelly Dimmer 2 (device and framework) work OK with one, two, three dimmable bulbs, with N connected to the Shelly.
Hope this information is useful to someone. Perhaps to Shelly people, too, to solve the problem present without N and with more than 1 bulb, if solvable in firmware.
I think we can close this thread now, although it's unresolved, because I will now install a permanent N cable to the location of the switch (I have to dig the wall and open some electrical boxes to bring the N cable to the box), so I will not be able anymore to troubleshoot the original problem of this thread.