Hello. I managed to solve the issue. I contacted Philips and they sent some instructions:
0. Make sure that the Contact Sensors are added to Philips Hue App.
1. Check under Hue app->Settings->Smart home->Siri & Apple Home->Settings if "Unlink from Apple Home" is displayed.
If the option to "Unlink from Apple Home" is shown than delete the Hue bridge using the Apple Home app: Apple Home app->3 dots top right->Home settings->Hubs & bridges->Click on bridge and delete.
2. Power cycle the Hue bridge and wait 1,5 minutes for it to fully start again. Within 10 minutes, use the Apple Home app to add the Hue bridge Tap the big button on the Hue bridge
In the Apple Home app, select the Hue bridge in the “Add accessory” section. It shall be displayed as “Bridge name – xxxxxx” (where xxxxxx are the last digits of the bridgeID).
Follow the instructions on the screen.
Interesting is that I had two options to add the Bridge: Homekit and Matter. After I have added the Bridge again by selecting Homekit option, all the devices including the Contact Sensors have been added to my Home, one by one and I was able to add a room to my Contact Sensors and also to select some types: Window, Door, etc.
By adding the Bridge in this way, even the name of every device (light bulbs) was different then the name that they had when I was linking the Bridge to Honekit fron Philips Hue App (usualy the description used in Philips App) and also Adaptive Lighting was a new option to enable or not.