How interesting! I have just rub ShieldsUp! in response to another thread and have got an identical result going through a router to cable modem. With direct connection to modem it does not respond to pings. I presume it must be the router that is responding to pings.
I would't worry too much - it just mean that other 'puters can tell you are there but as all your ports are blocked/stealthed there's not a lot a "hacker" could do, even if they were interested in home PCs.