Mhh well yes ... theoretically it is possible to misuse icmp to tunnel traffic through a firewall which does not block it; on the other hand this is true for every single protocol and/or port which is allowed for going out (and letting back in the answer packets).
Either your sysadmin had a bad day or no idea at all. Depends to some extend to the exact network setup you have.
Normally they don't need to allow 'outside->inside icmp' in general but _only_ the answers for the ping _you_ send out before.
(this is whats called stateful - the term isn't normally used for icmp though; in iptables-speak this is related traffic)
Connection tracking refers to the ability to maintain state information about a connection in memory tables, such as source and destination ip address and port number pairs (known as socket pairs), protocol types, connection state and timeouts. Firewalls that do this are known as stateful.
A setup like you describe here though (in->out icmp allowed + _all_ out->in icmp dropped) makes no sense at all. Why allow to send data outwards but deny the reception of answers for this data?