I am not network guru, so please excuse me, if this is something obvious and easy to solve

I have configured PR based on destination IP addresses (defined address list). When user tries to access this definded IPs, he will be routed to different gateway.
I used this guide : http://wiki.mikrotik.com/wiki/Policy_Base_Routing . It works fine only when I connect to my LAN from remote location using VPN (configured on same mikrotik) and then try to access some of the defined IPs. When I am connected directly to my LAN (at home), PBR doesn't work, specificaly works only partialy when some IPs are correctly routed and some are not.
Firewall should not be blocking any connection, because I am using same segment for VPN and for LAN (just different range of /24 segment).
Am I missing something, or doing something wrong ?
Thank you.