As the port is open the OS will allow requests on that port to be handled by the server program listening on that port (what is MySQL). When the MySQL 'service' starts Windows will know that all incoming communication on that port shall be routed to the MySQL server. Next the MySQL server will handle all such requests.
Server programs act on demand/on request. They do not initiate any action themselves. So if the shall be of any use it is required that client programs are allow to send a requests to initiate an action. That requires some kind of open communication 'channel' (a port, a named pipe or whatever). If you don't have such communication open option the server is no use with clients connecting from other machines.
So you will have to decide if you trust if the MySQL server will handle illegal requests properly …