Multicast DNS is a protocol which is used by devices on the network announce to the rest of the local network that they are there (name) and what services they offer to others (printing, audio...). It is not really a connection but a broadcast, i.e. the information are send to a special multicast address and all devices on the local network will listen for information on this address.
Sure, it makes it easier to discover for an intruder in the local network what else is there, since it was explicitly designed for providing this kind of information (i.e. use devices and services without much explicit configuration). It can also be used by an intruder to announce itself as some service in the hope that others will connect to it. But it can not really be used to spread malware by itself - unless the recipients mDNS stack is broken.
Thus while there were (of course) bugs in the related network stacks in the past and might also be there currently, it is no more dangerous than any other network protocols you use, probably even less since it should be restricted to the local network. In other words: there are probably more serious problems in your network you should worry about.