D3D debug layer stuff isn't installed by default in Win10, you need to install it yourself. https://msdn.microsoft.com/en-us/library/windows/apps/mt210797.aspx
Bigger system updates may require reinstalling it, I remember it stopped working for me after Win10's big november update.
Thank you! You're absolutely right, I forgot that I upgraded to 10586 build recently. Everything works fine now