I found out that the problem was in line endings.
On Windows it's defaulted to CRLF of course with core.autocrlf set to true.
If I manually change line endings to Unix-style LF all checks pass okay:
C:\monero\monero-gitian\v0.15.0.1-win\dikdust>gpg --verify monero-win-0.15-build.assert.sig
gpg: assuming signed data in 'monero-win-0.15-build.assert'