In Firewall Options should I Block Incoming Connections

The firewall that you control under Security & Privacy is a software firewall on your Mac that assists with controlling which applications that can have access through this firewall when enabled. Unless you have a specific reason to do so, it's better to just leave the Firewall disabled all together. However, you may have reasons to do so otherwise. If that's the case, you should understand each app that you enable to understand what impacts doing so will occur. If you're not sure, then don't enable them. It's that simple.

The "Block All Incoming Connections," if enabled, will do exactly that. Any inbound application-related traffic will not be allowed to access your Mac.

The bottom line is if you don't know or aren't sure, then don't enable the firewall. You should have good reasons to do so.

Are you always at home, protected by your home NAT router?

Or are you often in coffee shops, hotels, etc...?

At home you are only protecting yourself from other devices in your home, as your home router never lets in unsolicited connections.