Step 1
Go to the «Store settings» («Настройки магазина») section of your Yandex.Kassa merchant interface.
Step 2
Press the pen icon which is nearest to the «checkUrl» field.
The section is named «Testing parameters» («Параметры для тестирования») in the test mode, but obviously has another name (I do not know it) in the production mode.
The result
You need to setup the following 3 options: