Seems like I can turn that off.

I went to System Preferences > Security > Firewall > Advanced and turned on "Block incoming connections" for WineskinX11

MoI starts without problems so it seems to be not required to allow incoming connections.

I guess this message shows up only if the OS X firewall is activated and you start MoI for the first time.
I think I also saw this message with the previous Beta because there was a second WineskinX11 entry in the Firewall settings. Also set to "allow". I blocked both.