I cracked the issue. Finally i found some time to sit down and test, when this is happening, because I only saw it when testing against our own speedtest.net server, but the queues were properly working against other speedtest servers.
So what is different between our network and others ? *PLING* IPv6 !!!!!!
And yes, correctly. Once I disabled IPv6 on my laptop and did the speedtest, the queues will work. Once I enabled IPv6, do the speedtest, the queues won't work.
Basically it means, that Mikrotik is not shaping the whole interface, but only the IPv4 traffic inside it. Should a customer get the brilliant idea to run IPX, Appletalk or whatnot .. well .. or IPv6, like we do, he's got full throttle no limit and the license to bust our network. Fortunatly this only applies to enterprise customers on our layer2 MPLS network right now, but what a bummer.