After reading the documentation (and many links!) I found this information (from manual):

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Build Simple Map / Build Map Entity

Compile the map without BSP / PVS data and palettes, for simple level or Map Entities, or levels that contain concave or imported elements and are not suited for a BSP tree. The map compiles faster this way, but light maps can compile slower.
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It means that in order to create a WMB file without BSP data we need to compile using this option!