Is it risky for firewall to block ICMP?

Compared to other IP protocols ICMP is fairly small, but it does serve a large number of disparate functions. At its core ICMP was designed as the debugging, troubleshooting, and error reporting mechanism for IP. This makes it insanely valuable so a lot of thought needs to go into shutting it down. It would be a bit like tacking >/dev/null 2>&1 to the end of all your cron entries. Most of the time when I talk to people about block ICMP they're really talking about ping and traceroute. This translates into 3 types

• 0 - Echo Reply (ping response)
  
• 8 - Echo Request (ping request)
  

11 - Time Exceeded

• That's 3 types out of 16. Let's look at a couple of the other ICMP types that are available.
  
• 4 - Source Quench (send by a router to ask a host to slow down its transmissions)
  
• 3 - Destination Unreachable (consists of 16 different kinds of messages ranging from reporting a fragmentation problem up to a firewall reporting that a port is closed)
  

Both of which can be invaluable for keeping non-malicious hosts operating properly on a network. In fact there are two (probably more but these are the most obvious to me) very good cases where you don't want to restrict ICMP. Path MTU Discovery - We use a combination of the Don't Fragment flag and type 3 code 4 (Destination Unreachable - Fragmentation required, and DF flag set) to determine the smallest MTU on the path between the hosts. This way we avoid fragmentation during the transmission.

Active Directory requires clients ping the domain controllers in order to pull down GPOs. They use ping to determine the "closest" controller and if none response, then it is assumed that none are close enough. So the policy update doesn't happen. That's not to say that we should necessarily leave everything open for all the world to see. Reconnaissance is possible with ICMP and that is generally the reason given for blocking. One can use pings to determine if a host is actually on, or Time Exceeds (as part of a traceroute) to map out network architectures, or Rory forbid a Redirect (type 5 code 0) to change the default route of a host. Given all that, my advice is, as always, take a measured and thoughtful approach to your protections. Blocking ICMP in its entirety is probably not the best idea, but picking and choosing what you block and to/from where probably will get you what you want.