I've just got the latest RouterOS working on my GNS3 and I have made a very simple topology in which a PC is connected to the MikroTik, then I want to add every pinged address by the PC in an address list, so I take these steps:
On the MikroTik: ip address add address 10.1.1.1/24
interface: ether1

On the PC: ip 10.1.1.2/24 10.1.1.1

Then (after I make sure the PC can ping the MikroTik), again inside the MikroTik I make this list:

[admin@MikroTik] > ip firewall address-list add list=ping-destinations

and this filter rule:

[admin@MikroTik] > ip firewall filter print
Flags: X - disabled, I - invalid, D - dynamic
0 chain=forward action=add-dst-to-address-list protocol=icmp dst-address-list=ping-destinations address-list-timeout=1m

Now from the PC I ping an address, say 8.8.8.8 and I expect it to be added to my address-list, but then I check like this:

Flags: X - disabled, D - dynamic
# LIST ADDRESS CREATION-TIME TIMEOUT
0 ping-destinations 0.0.0.0 ...

but as you see, 8.8.8.8 is not there. Please tell me what's my mistake. Thanks.

I've tested this on my box RB3011and it works perfectly, with exact the same settings that you tried!
I'm on the 6.46 STABLE
Did you enable LOG to see if any pack hits this rule ?? It is positioned OK in the ruleset ?
I've create the rule in FORWARD and moved it all the way to the top. Do you see traffic-counters increase ? Probably it does not even hit the rule.