I found solution for the problem with running HP UFT Connection Agent under new MacOS.
Some python libs were missing. I prepared package with them.
2016-03-16_09-17-15
You only need to:
1. Download and unpack archive from attachment: UFTDaemon for OSX 10.11
2. Copy content from UFTDaemon for OSX10.11 folder
3. Paste in into folder to /Users/<your user name>/Library/UFTDaemon/
4. Open System Preferences > HP UFT Connection Agent and click on Apply & Restart button.