Great question.
I know what Ubuntu does, but Windows - who knows. The ICMP protocol allows for pretty long timeouts before it gives up. It is also like UDP in that is unreliable. See RFC 792, which ubuntu follows.
In the past, MS was notorious for deciding to create their own standards. I would assume if you see deviant behavior, it is due to an icmp firewall setting:
Create an Inbound ICMP Rule on Windows 7, Windows Vista, Windows Server 2008, or Windows Server 2008 R2
I cannot find the rest of the MSDN stuff on icmp for some reason.... probably me.
For production, this means you would have to configure all of your Win 7 boxes the same in this regard - for TCP/IP timeouts as well.