Ookke said:
I guess that gravity field of EM wave is somewhat different than field created by object with rest mass.
The stress-energy tensors are somewhat different, yes.
Ookke said:
We can imagine two EM waves traveling to same direction, side by side and very close each other. Observer "at rest" would see just two waves with nothing special, but another observer moving very fast to opposite direction would measure the wave energy much higher.
They would, but that wouldn't change the mutual gravity between the waves themselves. How could it? Observers moving at different speeds past the waves doesn't change the waves; it just changes the observers.
(Similar remarks apply to objects with rest mass; see below.)
Ookke said:
In principle, this energy could be large enough to cause gravitational pull, making the two waves collide i.e. merge together.
Actually, it turns out that two EM waves moving in the same direction do not attract each other gravitationally; but they do if they are moving in opposite directions. This is one way in which EM waves are different from objects with rest mass.
Ookke said:
The same with objects that have kinetic energy, maybe that somehow contributes the gravity field as well.
It does, but perhaps not in the way you were thinking.
As I noted above, different observers moving at different speeds relative to a pair of gravitating objects will measure the objects to have different kinetic energies, but that won't change the mutual gravity between the objects, because it doesn't change the objects themselves; it just changes the observers.
However, suppose I have a gravitating object composed of bodies all at rest relative to each other, and another gravitating object composed of similar bodies, with the same rest mass, but moving relative to each other in a bound system (for example, a bunch of particles flying around in a box, compared to the same particles sitting at rest in the same box). The kinetic energies of the objects in the second case will contribute to the overall gravity of the object; it will be larger than it would be if the bodies inside the object were all at rest.
(Also, the motion of a body passing by a gravitating object does depend on its velocity relative to the object; bodies flying by a gravitating object at relativistic speeds, for example, "fall" faster than bodies flying by at slow speeds. This is because, in Newtonian terms, the "force" of gravity in General Relativity has a velocity-dependent component.)