Maciej,
I just tried setting both the login and motd messages on an SSA-G10108-0652, which I did successfully. I used the commands
set banner login This is the pre-login message
set banner motd This is the motd message
When I tried to login to the switch, I got the message "This is the pre-login message" (without the quotes). After successfully logging in, I saw the "This is the motd message" as expected.
One difference I noted is that I am running 08.11.04.0006 code. You might want to check the release notes of the code versions between 7.41.03.0009 that you are running and 08.11.04.0006. There may have been a fix for your issue.
Another note, after the pre-login message, I was presented with a "Proceed to login? (y/n) ?" message which you need to answer "y" (without the quotes). I was not expecting that message.
As expected, "clear banner login" and "clear banner motd" will clear the messages.
Best wishes,
James