You are right to say that the merry-go-round is beloved to Misha because he not only gets chided for riding it while still at the orphanage, but also is entranced by the music one night, finds the merry-go-round unmanned and running, and rides to his hearts delight. (Misha is also chided for this as well.)  But as for "what happens" at this important place.  Two particular things.  First, it is the scene of a tragedy.  One day Misha notices that one of the horses was stolen.  A crowd in Warsaw appears and finds a random Jewish man to blame.  They strip the man naked and douse him with water in order to make him freeze in the morning cold.  The crowd simply stands and laughs as the man turns blue.  Secondly, Misha takes Janina to the merry-go-round as a distraction as they are outside of the ghetto in order to steal food.  It sparks a conversation (in addition to a visit to a graveyard and a stone angel) that an angel lives inside each person and flies to heaven when the person dies.