I try to set up ipsec channel with RB750G as a client
First adding ipsec policy...

I enter source and dest addresses (via WinBox) and... "Couldn't add New IPsec Policy - transport mode policy must match sa endpoints (6)"

what is wrong?

Set IPSec 'Peer' and 'Proposal' first, then 'Policy'.

HTH,

well, I have a default proposal and I have set up two peers (local and remote IPs)
it doesn't help!

In 'IPSec/Peer' set only remote peer, not local.
You can find manual and step-by-step example here:
http://wiki.mikrotik.com/wiki/Manual:IP/IPsec

HTH,

Are you adding transport mode...if no then please check tunnel in advance TAB.