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But don't firewalls drop everything inbound by default? So it's more that people don't know they should create rules to allow ICMP, no?

Connection comes from your browser i.e. localhost to yourself, firewall is not setup to block such connections in most cases.

Yes, false sense of security hits the nail on the head.

Fits right there with unnecessary password rules too.

Zonealarm's "!1ALERT!! x.x.x.x is h4x0r1ng you with ICMP packets!" sold $millions worth of placebo in early 2000.