Rosicrucian refers to a secretive, ascetic order founded by the legendary Christian Rosenkreuz, who may or may not be an actual historical figure. (Early 17th century). Rosicricianism is the philosophy of a secret mystic/religious society founded during this (17th cent.) time, which was built on esoteric truths; concealed from the average person. It is said to have influenced other secretive societies such as the Freemasons.
In the context of the Joyce story, the uncle refers to the boy as Rosicrician because the boy spends too much time with the priest; not enough playing outside. You can draw different interpretations here, but the main point is that, while the boy's family knows the priest has been somewhat of a mentor, they don't know exactly all the things the priest and boy talked about or did together. There may be an implication of misconduct here, but that is subject to interpretation. I think the point is simply about secrecy as it applies to the hidden nature of Church doctrine, which is alluded to in the story; and of course, the closeted feature of the confessional, secrets and hidden spaces. Given that the last image of the priest is in the confessional and the coffin, there is probably something to that - perhaps the analogy of being isolated from the world; or more in tune to the spiritual (being dead, close to god, etc.). This is certainly possible considering the Rosicrucian Order claimed extraordinary communication with the spiritual realm.