At least in the Gameboy version, but I also observed this from the other versions' screenshots, one bomb at a particular time always has its fuse burning. Is this "indicator" suggesting the order in which the player should collect the bombs? I take this as a hint only, because you can complete the levels also if you ignore this order. Does observing this "suggested order" bring you any benefits in the game?
You got it right.
IIRC, it is a score bonus (and therefore bonus lives in the end?) that you will receive if you grab the bombs in the correct order. Of course, with a bit of practice, you will start to learn the pattern for each bomb sets, which will make collecting them easier.