Firewall and visibility on the Internet

My Firewall on Snow Leopard 10.6.7 is set to:

However, when I go to SheildsUp at grc.com which previously passed my Mac Pro as completely invisible, it now warns me:

Ping Reply: RECEIVED (FAILED) — Your system REPLIED to our Ping (ICMP Echo) requests, making it visible on the Internet. Most personal firewalls can be configured to block, drop, and ignore such ping requests in order to better hide systems from hackers. This is highly recommended since "Ping" is among the oldest and most common methods used to locate systems prior to further exploitation.

Is there really something wrong? If so, how do I fix it?

Regards,

Peter/