That's not what the reply says, and you're not asking the question that will get you results.
Again: Ask them to "allow PHP to make outgoing connections to TCP port 8728". If you have that, you're set.
OR configure the API to use TCP port 80 (and move Webfig to a different port, or disable it), and connect over that port. f.e.
/ip service set www port=8080
/ip service set api port=80
to move webfig to port 8080, and the API to port 80.
Let me parse the reply you got...
It seems likely that the configuration of your local server is different from that of the cPanel account you're using.
Correct. And the difference is in the firewall configuration.
It's difficult to say exactly what part of the configuration is causing the error.
...because you haven't specified what IP, protocol and port you're connecting to.
Shared hosting plans have increased security and some features are not available.
And as such, you may not have the right to enable outgoing connections to TCP port 8728 yourself... But GoDaddy staff may be able to do so for you.
However, I was able to upload a test websocket script to a test cPanel account and found it was able to connect.
My test script used TCP port 80, a.k.a. HTTP. You can make outgoing connections to THAT port...
My suggestion would be to provide the full script you're using.
... but you're not using TCP port 80, are you?
Someone else in the community might be able to offer suggestions on what's causing the problem if they can review your script.
I don't know what TCP port the MikroTik API uses and/or other specific requirements that it may have, and I don't have the time to research it myself, nor do I have the full environment to reproduce your problem.
