I Marcin,
i can confirm, that REST with for loop works - i have few use cases where i'm using that combo and it works great.
I'm usually using JSON same as Daniel, and sometimes even generate whole json with sql.
Webcon many times assumes that if something is an item list, then it should be accessed as collection, and looks like it's the case.
After selecting an item-list, as a collection node, then i'm able to specify specific columns for the request, but this will create one request with an array - which is not what you want if i understood correctly.
I'd change the type of that 'For Each' loop to a data source, then you will be able to select column with data for current element (this is not accessible when for each on item list mode).