Whenever I run Winbox it connects to Mikrotik site.

Why? What information it delivers to Mikrotik?

I also noticed that some RouterBoards connect to Mikrotik site on their own. What information they pass to Mikrotik?

Retrieves update information? Run Wireshark and see.

RouterOS does not connect to mikrotik.com site on it's own.

These are the possibilities why this could happen:

1. you clicked on the "manual" link and opened the online manual in Winbox
2. you clicked on "update key" button to fetch new license from MikroTik

I suggest running Wireshark and checking what is being sent