Burned a PIC12F675 - but why?
Not sure about your question about the burned out PIC and 12V MCLR but I can answer about the direct connection of the Arduino and the PIC GPIOs. If both are running off of the same power supply and your software in both is flawless, then there should be no issues with a direct connection. 

However, I personally always connect them with resistors to limit the damage cause by software bugs and/or timing issues because there will inevitably come a time were I messed something up in the software and the resistor give's me the time to realize that I have a bug before something gets damaged.