This is for Sitefinity version 9 (might be useful otherwise too).
As per documentation, hiding documents inside library do not have permissions. So we decided to use multiple libraries, put on same page. So this is workaround with multiple libraries, with own permissions by user role.
In order to permissions work on document library, it is not sufficient, though necessary to set the permissions on library (root : as per documentation), it is also needed to setup a flag in the security settings in back-end > [Top menu] Administration > "Advanced" link > security left menu
Check on the check-box for: Enable filtering queries by view permissions
This will in turn modify config file "securityConfig.config". So you need to rebuild solution (just compile didn't help).