For what is it usefull?
I (client) send an echo-request (with http data) to the proxy server. Then the proxy has to send me the echo-reply. But my question now is:
2.1 The proxy first needs to send my data to the webserver, the webserver needs to reply -> this costs time. So can the proxy server delay the echo-reply?
2.2. If yes, how can he delay it?
In general, tunneling one protocol under another is done because there are networking devices in between that only can handle or allow specific protocols.
If routers or firewalls allow (don't drop) and don't record (don't log) the full ICMP packet, then just looking at the protocol shows pings or something happening. This causes the covert comms channel to be overlooked.
The proxy server would be needed to form the tunneled traffic into a form that the real desired server could understand. Otherwise the webserver itself would have to directly accept ICMP/TCP traffic.
Target >> ICMP Tunnel with HTTP >> Proxy that unwraps the tunneled HTTP >> HTTP Traffic >> Server