Direct sysupgrade from 18.06 (or earlier) to 21.02 is not supported. To upgrade, you should backup your configuration, install 21.02.0, and then manually re-create your configuration.
And later:
However, there is no “keep-configuration” migration path from 19.07 to 21.02 for targets that switched from swconfig to DSA. The affected targets are: ath79 (only TP-Link TL-WR941ND)...
So I CAN use "keep-configuration" with TL-WDR4300 as it is not one of the listed devices that switched swconfig to DSA?
If feels really daunting task if I will have to reconfigure everything from scratch... I have custom switch configuration (separate network) with separate zone, lot's of forwarding, bunch of hostnames, and who-remembers-what-more...
What's your experience upgrading to ath79? Do I really will have to reconfigure it all?
As the release notes say, upgrading from 18.06 to 21.02 is not supported, so do not do a direct upgrade with "keep settings" enabled. It is safe to do an upgrade as long as you do not retain the settings.
You could try an intermediate upgrade (18.06 > 19.07 > 21.02), and that may work.
The ath79 target does change some of the stuff in /etc/config/network relative to the earlier versions, but since you're not DSA, the changes are not huge, and it probably should be okay from 19.07 > 21.02. Most of the other stuff such as the firewall, hostnames, and other ancillary stuff is usually compatible. Recreating certain things like your switch configuration should be relatively easy.
That said, you will be best served by being prepared and considering some other options. Make a backup. Make sure you can get into failsafe mode. And have local copies of 19.07 and 18.06 if you might not be able to get online in the event of issues with the upgrade process. You may want to upgrade without retaining settings, and then selectively restore certain files (like your firewall), while using others as a reference for your previous config (that you can then recreate).
It does not, 18.06 was ar71xx-only, 19.07 was ar71xx/ ath79 and 21.02 is ath79-only. Keeping settings between ar71xx and ath79 is not possible. Regardless of the intermediate steps between 18.06 and 21.02, you have to cross the target migration at some point, and exactly there you will (have to!) lose your old configuration. The sensible step would be to start fresh with 21.02 and ath79.
Disclaimer: the above only talks about hard technical necessities, it does not imply that keeping settings between major version upgrades were a safe approach in the first place.
Good points. I forgot that there was no migration between ar71xx and ath79 (it has been a while since I dealt with it), but that is the key factor, so @slh is correct - it won’t work.
Use your backup purely as a reference to rebuild settings for the key files. I am pretty certain the firewall file and the other non-hardware mapped stuff should largely work, but compare the syntax and formatting of the new files before replacing them with the ones from your backup.
I guess I have to mentally prepare for some "fun" weekend 
.