Cgi-bin folder
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Is there cg-bin folder of any site related to SEO in anyways and why we always block Cgi-bin folder in robots.txt.
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No. No correlation with SEO.
However the same way you block your temp or admin folder, there is no need in letting any bot crawling your cgi-bin folder.
Cgi-bin folder holds executable file - you don't want external sources to see it anyway - it's "very" private from security reasons. You need more then knowing what's inside the folder to do harm but keeping it hidden is the wise call. Better safe then sorry.
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As eyepaq says - it's for holding executable "program" files. search engiens don't need access so it gets blocked. If it's empty you can even remove it.