Why /etc/security/limits.conf doesn't work in Ubuntu 16.04, 16.10, 17.04?

Because there is systemd...
Modify its files:

root@user-VirtualBox:~# grep NOFILE /etc/systemd/*.conf
/etc/systemd/system.conf:DefaultLimitNOFILE=2097152
/etc/systemd/user.conf:DefaultLimitNOFILE=1048576