How to set custom segwit change address in v0.15 Core via config
Is there a way to set custom change address (segwit preferable) in bitcoin core via config or some parameter (not via GUI). 


Not in 0.15 I believe, you would have to create a raw transaction manually with the change being sent to the address you wanted. Better support for segwit addresses is coming in 0.16


  Is there a way how to report this to core developers


Yes, you can submit bug reports to the issue tracker on GitHub here: https://github.com/bitcoin/bitcoin/issues