I am rather new to this stuff, as a matter of fact I have bought the mikrotik RB to lerm more. So forgive me, if the question is silly, please.
I am going by the MT wiki, and there, in the firewall section, there is something like “Also we will allow ICMP protocol on any interface so that anyone can ping your router from internet.” Can you explain to me, why I would want that?
ICMP is used for a number of things, ping being the most common which is useful for troubleshooting a network. You’re basically sending an “are you there?” packet and receiving a “yep, I’m here, this is how long it took” response.
In IPv4, ICMP is optional. If this is a home router and you have no need of pinging your router from outside your network, it can be disabled and you’ll probably be fine.
But… start searching the internet and you’ll find much more information and thoughts on the topic. This might be a good start: http://security.stackexchange.com/questions/22711/is-it-a-bad-idea-for-a-firewall-to-block-icmp