I believe that it should, but in my case i have iptables stopped, eth0 with ip address and up, and if i run tcpdump i can see mndp packet arriving from rb, but nothing appears on the winbox. Another thing in that mac-winbox also gives me an error.
But if i connect to IP instead of mac it works perfectly well.
On ubuntu i only issued apt-get install wine and run winbox.
Did you configure the router to disable neighbor discovery and layer two access? Save the config, restore to factory defaults, try again. You can always restore your saved config after that.
Tested on: Ubuntu 12.04 LTS, LinuxMint 12, LinuxMint 13, LinuxMint LMDE, wine from 1.2 to 1.5.5
Connection via IP works perfectly, mac discovery works when I have ip and default gateway on linux box, but connection via mac-winbox is broken: frozen winbox window afeter login (uptime not icremening, 0 items in interfaces)