I never understood that practice, especially not for standalone machines (in contrast to company networks, on the router).
So, why really?
I think perhaps the general suspicion of ICMP might be related to things like this http://en.wikipedia.org/wiki/Ping_of_death which are now mostly irrelevant.
Some sort of naive attempt to stop attackers mapping your network too perhaps? It's not exactly a high tech (or effective) means of intrusion detection though.
I never understood that practice, especially not for standalone machines (in contrast to company networks, on the router).
So, why really?