I think that the mangle example in the manual is not correct. The example queue tree will not work if you follow the mangle example.

http://www.mikrotik.com/docs/ros/2.9/ip/mangle
Here is what I think is correct.

What was the problem with the first one??? From my point of view both examples work the same except the first packages

I by myself would use this setup - it takes less processing

[admin@MikroTik] ip firewall mangle> pr
Flags: X - disabled, I - invalid, D - dynamic
0 chain=prerouting p2p=all-p2p action=mark-connection new-connection-mark=p2p_conn passthrough=yes

1 chain=prerouting connection-mark=p2p_conn action=mark-packet new-packet-mark=p2p_packet passthrough=no

2 chain=prerouting action=mark-connection new-connection-mark=other_conn passthrough=yes

3 chain=prerouting connection-mark=other_conn action=mark-packet new-packet-mark=other_packet passthrough=no

What was the problem with the first one??? From my point of view both examples work the same except the first packages

I think I found the problem, passthrough is not set default to yes as the manual said.

passthrough (yes | no; default: yes) - whether to let the packet to pass further (like action passthrough) after marking it with a given mark (property only valid if action is mark packet, connection or routing mark)