Sorry for the delay - I was extremely busy.
Seems that I found the reason of this behaviour. It may happen if you're using some recent StyleCop version.
There is a minor bug that it installs two copies of SettingsEditor.exe when you choose to install MSBuild integration.
One of them is in C:\Program Files\MSBuild\StyleCop\v4.5 and the other is in C:\Program Files\StyleCop 4.5.
By default, *.StyleCop files are associated with editor placed under MSBuild folder. So if you open them via double-click, that editor loads (and it seems not having StyleCop+ DLL in that folder).
But if you call editor from VS, editor from Program Files is being used, so everything works fine.
As a result, a workaround is simple - just copy StyleCop+ DLL in ...\MSBuild\StyleCop\... folder. Or change file associations manually.
Anyway this bug in StlyeCop installer seems to be fixed soon.
Regarding naming macro - I surely think about it.
Also I will check using linked settings files. There is a chance that this kind of merging doesn't work indeed - thank you for pointing it out!