Have you had it at a good restaurant? If you don't like it there, than you just don't like it. It is NOT the same or similar to fatty brisket.
First, you need good marrow bones split lengthwise by a good butcher. It is typically roasted at high heat, 400, for just long enough for the edges of the split bones to brown and the marrow is hot, but not liquified-it is instead still jelled. It is classically served with a sauce made from olive oil, vinegar, lemon juice, parsley and capers and then the most important thing to do is to spread the marrow on a good toasted crusty bread with the sauce spooned on top. Don't forget to sprinkle salt on top.
So to the point, roast bone marrow is a subtle but fantastic and flavorful dish in the setting of indoor dining, but not for everybody. It is not going to stand up to smoke and a BBQ setting. I suspect smoking it is the reason it was underwhelming.