Replying on a closed port is very much like saying «no» to «are you there». It does show that you are. It also shows that you are rather dim and might have other weak spots to discover.
From my logs:
Stealth mode = one or two port probes from an ip, then it stops.
Closed mode = full ass massive port scans, forged packets, all sorts of weird requests.
I have few ports with daemons running on, and I cannot be sure that a hole in them will absolutely never be discovered. So I prefer not to reply whenever I can to avoid attention.
Both tests mentioned here — ShieldsUp & Flank — just show your ports state (opened|closed|stealth) from an outside perspective. Some might have banners related to firewalls (there's some logic in that), but these are honest and reputable services which do not forge results to make you buy anything. There've been online
since sixties.
My problem with W7FC is that I couldn't find a way how to specify a particular icmp message, it's either icmp on or off. Also, it seems to be replying even with everything blocked.
I've just quickly tested, so maybe I just missed it.