[root@mail2 config]# cat ./main.inc.php | grep sieve
// managesieve server port
$rcmail_config['managesieve_port'] = 2000;
// managesieve server address
$rcmail_config['managesieve_host'] = 'localhost';
// use or not TLS for managesieve server connection
// it's because I've problems with TLS and dovecot's managesieve plugin
$rcmail_config['managesieve_usetls'] = false;
$rcmail_config['managesieve_default'] = '/vmail/.dovecot.sieve';
$rcmail_config['managesieve_replace_delimiter'] = '';
[root@mail2 config]# netstat -anp | grep 2000
tcp        0      0 127.0.0.1:2000              0.0.0.0:*                   LISTEN      2460/python
[root@mail2 config]#

/vmail/.dovecot.sieve - files exist and ok.

very interesting, yesterday i add new domain, all work fine, i mean rouncude not print "unable connect to filter's server";
but today created domain in rouncube print this error;

[root@mail2 roundcubemail-0.2-stable]# telnet 127.0.0.1 2000
Trying 127.0.0.1...
Connected to 127.0.0.1.
Escape character is '^]'.
"IMPLEMENTATION" "pysieved 1.0"
"SASL" "PLAIN LOGIN"
"SIEVE" "fileinto reject envelope vacation imapflags notify subaddress relational comparator-i;ascii-numeric"
OK

yes, when i add domain in postfixadmin, it must create /vmail/sieve/domain/user/.sieve folder, but no do this, why ?
i can't see any errors, chown on /vmail/sieve vmail:vmail

Try this:

### Find dovecot.py installed by pysieved.
$ rpm -ql pysieved |grep 'dovecot.py$'

### Check source code: os.mkdir
$ grep 'os.m'

If it shows 'os.mkdir(self.basedir)', it's wrong. It must be 'os.makedirs(self.basedir)'.
Restart pysieved and test it in roundcube again after you change source code as above.