Query priority

I have some processes that must run queries immediately, and not wait for other queries being executed,
so I created a new database connection to my database.
Does this increase performance when I am limiting the traffic per connection?
And if it makes no different, is there a way to specify which connection or query has top priority?

To some extent this depends on your database’s capabilities – if one query has resource locks you need, no amount of connection manipulation will help. But that’s an extreme case.
If you look at the advanced properties of your connections, you’ll find the pool configuration. Each defined database in Ignition really is multiple simultaneous connections. Pooling keeps them around, so they’re ready to use on a moment’s notice.
For the critical queries, use a connection that has no pool limit, and a minimum that makes sense for the frequency you need it. For the non-critical queries, have a pool limit that leaves some free cores on the db server, and a long timeout.