No, you don't need to be unduly concerned. It is less of a security risk when it is a Router which has your public IP address and responds to 'pings' than if the PC was connected directly via a dialup or USB ADSL modem.
Internet "nasties" looking for unprotected computers to infect will send out pings to establish which IP addresses respond, so they can then infect the computers at that address. They cannot infect your router, although all PCs connected to it should obviously be fully protected with up-to-date AntiVirus and Anti-spyware software.
Also, I recall a posting from "kitz" some time ago in which she mentioned things (don't remember what) that wouldn't function properly if responding to a 'ping' was disabled.
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Mike