What is purpose of VLAN Mode on wireless interfaces? I can achive VLANs on wireless interfaces using Bridge VLAN Filtering (or probably binding VLAN Interface directly to wireless interface but I didn't tested it yet)

A multitude of reasons:

https://wiki.mikrotik.com/wiki/Manual:I ... AN_tagging

Before ROS 6.42 (or something) bridge did not have VLAN related functionality, hence VLAN functions had to be performed by member ports (in this case wlan interface). Using vlan interfaces doesn't help in this case, using multiple bridges does (but that's awkward).
Capsman still uses wlan vlan-functions (capsman only provisions wireless, not the whole cap device).
After advent of bridge vlan-filtering wlan interface functionality didn't change, I guess reason pro is backward-compatibility and I don't know any con-reason. I guess this might change in ROS v7.