There are several ways to see what connections are making their way though the router.
In the Winbox Firewall window, you can switch to the Connections tab, to see current connections to/from/through your router. It looks like this:
You can also Turn on and off the connection tracking altogether, in the Tracking menu, accessible with a button of the same name in this window. Note that turning off the connection tracking will make NAT and most of the Firewall not work, because they rely on this feature.
You can also use Torch for similar results, Torch is located in the Tool -> Torch menu: