As discussed before, one function of ICMP is to allow one computer ping another computer to see if an IP address has a host. While this, by itself, is not much of a security threat, it is still better not to respond to ICMP echo requests. Most residential gateways by default do not respond to echo requests.
Note that if you set up port forward, not responding to “echo request” is probably not very helpful. This is because with a port scan, the forwarded (TCP) port will respond to connection requests, and therefore let another computer on the Internet know that a port is bing listened to.
Also as discussed earlier, most ICMP messages are useful only to network infrastructure appliances. This means that you should consider disabling the processing of all ICMP messages unless it stops you from doing something that is useful.