A pingback request is telling you that another page has linked to your page, i also approve my pingbacks.
Allowing or dissallowing really won't don't anything for your SEO since it is just notifying you that someone else linked to that post. By default, the pingback link on your blog will probably be nofollow anyway.
It because, there's some other blog/site which have pingback activates linked to you. It's a courtsy to accept the ping back, but before that, go to the page who linked you and review it before accepting.