Apologies mozdzierz, I assumed that you were working with a native code project since you referred to setting cobconfig but the exception indicates that you are running a managed code program which does not use that file at all.
In a managed code project you need to add an Application Configuration File to the project (via Add -> New Item on the context menu in Solution Explorer) and add an entry for the printer_redirection tuneable to that. What you need to add is shown in the following topic in the product documentation
Format of a Configuration File for .NET COBOL
and it actually contains both printer_redirection and printer_defaults
Gael