I did some test and by default the ICMP packets are not logged. However, I wrote a DROP rule specifying the ICMP ECHO_REQUEST protocol plus setting the rule to be logged, and it worked as expected including the logging. Basically, it logs only drop or reject, not allow.
Can you try to open another pinhole, specifying as protocol ICMP and ECHO_REQUEST(8)?
EDIT: you should put this rule before the other with protocol=ANY.
I am guessing choosing “ANY” in the protocol section of the rule does not include (all?) ICMP categories.