First come first served applys to the major computerized markets only. Here in MM land the mantra is: MM internal accounts first. Friends of the MMs and big customers (hedge funds etc.) second. Retail traders last if ever.
I know what you mean. I have had orders that I know should have went through first that never did. Even cases where I could see my own mm got the shares but must have gave them to another client. Even though I could see my shares on level 2 before the other shares were added at the same price. I had it happen yesterday. Pisses me off.