As the subject states...

Different to on-up/on-down (http://wiki.mikrotik.com/wiki/Manual:PPP_AAA)?

Exceuse me, i can see how you would think that this would help.
Let me elaborate:

I would like to run a script (exactly as you stated) on-up and on-down, but when my PPPoE out connects or gets disconnected.

I have a GSM modem and would like to send myself a SMS when the link drops, and a SMS with the IP when it's up again.

I know that there are scripts for this, but they require constant repeating - and i think it's about time to add this functionality (on-up and on-down) for all interfaces.

I believe that it would greatly reduce the number of repeating scripts.

Exceuse me, i can see how you would think that this would help.
Let me elaborate:

I would like to run a script (exactly as you stated) on-up and on-down, but when my PPPoE out connects or gets disconnected.

I have a GSM modem and would like to send myself a SMS when the link drops, and a SMS with the IP when it's up again.

I know that there are scripts for this, but they require constant repeating - and i think it's about time to add this functionality (on-up and on-down) for all interfaces.

I believe that it would greatly reduce the number of repeating scripts.

I am monitoring links with PING ( with nowsms software ) installed on a windows server. Nowsms can do wget or lots of other stuff.
I guess when your pppoe client goes down, it wont aswer icmp anymore

I was hoping not to use a software on another machine..

http://wiki.mikrotik.com/wiki/Manual:PPP_AAA#Properties
on-up and on-down does exactly what you are requesting.

Ah, great! Did not know about that. lease-script for dhcp leases is very useful as well...
Are there any more possible hook scripts?