ALG stands for Application Layer Gateway. You're probably familiar with the packets you see in a SIP analysis. In the case of SIP, these packets are called the application layer. When SIP ALG is enabled on a router, it means the router acts as a gateway for these packets and attempts to guide them properly. There's nothing wrong with this if the SIP server (our cloud central) doesn't know that a device is behind NAT. In such a case, it would even be necessary for proper call handling. However, we always recommend against SIP ALG because our cloud central does assume that the device is behind NAT, and we can deliver calls properly without an ALG.
SIP ALG is enabled by default in many routers. Examples include ZyXell/ZyWall and Draytek routers.