How to create this effect in AE?

The shots are probably multi-exposure shots with multiple cameras on the same rig. One with very low aperture to only capture the LED strips against a black background, the other(s) with more regular exposure to capture the people and environment. That's than all munched together with heavy color grading and other tricks. That and of course it's heavily doctored, regardless. I can see tons of  Trapcode Particular and 3DStroke in there. The whispy "walls" could be created that way, but also just by using a frame accumulation/ feedback effect like CC Force Motion Blur and similar offerings in packages like Sapphire and then further blurred with a smear-based motion blur like AE's Timewarp/ Motion Blur or RevisionFX' RSMB. All of this is perfectly doable without any actual 3D tracking or scene reconstruction (aside from a bit of camera stabilization perhaps). You just need to put in enough effort to sell the illusion. That's the real trick here. Each shot must be tweaked quite a lot to keep it consistent in terms of timing and look.

Mylenium

It's completely possible. You need motion tracking of the subject or the lights, and then you turn that motion path into a mask path, which can be done with an expression. The Nulls follow Paths script from the Window Menu will give you some nulls to follow, and the vector path will give you a path for an effect like Saber to be used to create the persistent light trails left by the skiers. It would probably take a little less than an hour per three or four-second shot and would probably involve Mocha AE's trackers, a layer to hold the generated paths, and three or four more layers for the illuminated path, and the glows.