Why Ping is so important:
The main reason why Windows takes extra precautions with Ping is because of many issues related to ping in the past. Some of them include Ping of Death and Ping Flooding which uses ICMP Echo Request (ping) packets.
I'll provide some links to the most common forms of threats related to ping so you can have a better understanding of why Windows blocks certain protocols and why you may want to setup your Linux environment to do the same (by the way, there are many pieces of documentation on doing this exact thing).
Common Ping Exploits:
Ping of Death
Smurf DoS Attack
Setting Up Linux Environment:
This step won't make you immune to these exploits, this will just make it harder for someone to locate your device on a Local Area Network.
Here is the most common way to disable ICMP echo (ping) responses in Linux:
Add the following line to your init script for the network (the name
depends on the distribution you use):
echo 1 >/proc/sys/net/ipv4/icmp_echo_ignore_all
This disables ping responses.
To re-enable, use the following command:
echo 0 >/proc/sys/net/ipv4/icmp_echo_ignore_all
To make this permanent set the following into /etc/sysctl.conf (if you
have such a file)
net.ipv4.conf.icmp_echo_ignore_all = 1
You can read more into the steps with this site which is the first site you should come across when googling "Disable Ping in Linux". But hopefully this helps you understand why Windows does this automatically.