I reinstalled my Windows soon and after I installed SolidWorks 2016 I noticed I see through some faces, without they to be marked as transparent. Is this a bug, or it's an option? I mean the edge shown at the screenshot.

It is difficult to say from the image, but my first impression is an error in the part. If you have very this walls in a model, it is often possible to "see through" them like the image shows.
Try a section view to see if the walls are very thin, or if another part/body is embedded in that area.

U mean it's possible when I edited this part to make a body into another body by a mistake???

I guess it depends on the version of SolidWorks, but every release in the past ten years or so allows for multiple bodies inside of a single part file. It would be very easy to make one body within, or overlapping with another body.
Check the feature tree, how many Solid or Surface Bodies are in the part?

Or, it is also possible that the thickness of your part is very thin in that area. Do a section view and see what it looks like.

One way to narrow down the issue would be to upload the part here and let some of us open it and see if the transparency problem persists.