I completely deleted Lazarus, including all configuration files. Then I installed it again. After that I noticed new content of the line below "Use launching application":
/usr/bin/xterm -T 'Lazarus Run Output' -e $(LazarusDir)/tools/runwait.sh $(TargetCmdLine)
I've replaced it with the following line:
/usr/bin/xfce4-terminal -e $(LazarusDir)/tools/runwait.sh $(TargetCmdLine)
Now it works as I planned.