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I don't know what Comodo does, but top notch firewalls do both incoming and outgoing filtering. Most firewalls will stop (limit) unsolicited incoming packets. That is what Shields Up tests for. The most famous ports for violation were 137, 138, and 139.
ICMP is handled in the networking stack; IP which is part of an OS. The network card does very little beyond basic Ethernet (hardware) functions - lowest level in the OSI protocols. Ping is not automatically replied by the NIC chip. Ping is third level up - an IP function.
Reason some turn off ping is so that a searching program does not know a computer exists - does not start probing combinations of ports and protocols looking for an open backdoor. But when ping is turned off, networking diagnostic abilities are lost. Good for you; bad for someone who wants to solve your networking problems.
You may have seen it. This message pops up warning you to stop working immediately and download this Windows fix. Well, it is routinely observed on many internet connections and routinely ignored by the OS. Sometimes I see it appear on Windows 98 machines. It still probes computers in America routinely. It appears to have a China origin. The message suggests how much internet bandwidth is full of such scams. But again, today's OSes routinely pass Gibson's 'Shields Up' test - therefore ignore this and other spam.
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