Gibson (of GRC) is sort of a benign loon
Agreed, if he had just kept to the point and not tried to over-dramatise everything, he'd probably have a v. good reputation today in techie circles.
And firewalls are not the be-all and end-all of human existence, nor will they fend off all attacks, or even the majority of attacks aimed at Windows machines.
The only time anyone should give a stuff about a port closed response and no response at all is on a high-profile publicly accessible facility (such as a well-known website), where more time is taken responding to all packets than letting a firewall do it for you.
There is no substitute for a well-configured machine, except for the power cable being pulled out :-)