I had this issue happening on El Capitan as well. However, it only was an issue on my Mac mini. The MacBook Pro was not having this issue.
So I've decided to do a clean install on both machines. I don't use TimeMachine and so this was a complete clean install with a disk erase.
Upon reinstalling El Capitan, iTunes on the Mac mini is still giving me the dialog to allow incoming connections for iTunes. When I delete iTunes from the Firewall list and open iTunes it is ok. However, iiTunes adds itself back to the Firewall list as soon as I close iTunes, so the next time I open it, we are back to square one.
What is strange, that this is not happening on the MacBook Pro. iTunes is not even get listed in the Firewall list regardless how many times I open and close it.
My Mac mini is late 2012 and is hooked up via cable. The MacBook Pro is early 2015 and is connected via Wi-Fi. Since this is an issue even after a clean install, first I thought it might have to do with cable vs Wi-Fi. But it turned out, this is not the case. Then maybe an issue because the mini is older it has a different network interface...?
Annoying.
Mac mini late 2012 El Capitan
MacBook Pro early 2015 El Crapitan