I am wondering for what purpose we need to configure hostname and domain name in MEBx configuration? Just for test I leave it blank and I can connect to such machine via vPro using FQDN. So I assume that DNS lookup is performed
There are multiple reasons you should configure the hostname and domain name in the MEBx. The most important being that if you don't define an FDQN that can be resolved by DNS, then after configuration you might not be able to connect to AMT. Another important reason is security, if you're planning on using either Kerberos authentication or TLS then you will need to define a hostname and domain name. Beyond that, things like 802.1x, EAC (End-point Access Control), and Fast Call for Help all require an FQDN to be defined in MEBx to work.