Question: Document with attachments is opened in XPage. I want to edit attachment in associated program (say MS Word or Excel) and save changes back to Notes document.

I am aware of webdav configuration, but it have significant caveats: attachments are no longer stored within related document and security is controlled by ACL and not RN/AN.

How to edit document attachments in web client? Did any of you implemented such feature?

Answer: 
WebDAV is the way to go. There's an implementation that can read/write DominonAttachments. Soon on OpenNTF
Given that it would have to be opened in another program such as word / excel I'm not sure if this is possible, for example if your looking to save edits then you would need to know when someone saves the doc in word /excel etc. 

You can attach a file download control to a domino doc field, when you do this it will display all attachments, when in edit mode you can delete these attachments, I think the only way this would work would be to enable them to delete / re upload, which is a fairly common thing to do on most web applications I would think