OK, progress!
Found out that actually my client firewall is blocking the traffic.
So disabled the fw, now the Shrew soft displays:
"attached to key daemon ...
peer configured
iskamp proposal configured
esp proposal configured
client configured
local id configured
remote id configured
pre-shared key configured
bringing up tunnel ...
user authentication error
tunnel disabled
detached from key daemon"
The log on the Juniper displays:
"
| IKE 185.xxx.122: XAuth login failed for gateway vpn_gateway, username xxxx, retry: 0, timeout: 1. |
"
So I changed the XAuth user password in the local user settings to the simplest one to avoid typing mistake, but the result is the same. What am I doing wrong???