I had the same problem. I logged into my router to stop ICMP and ping requests and then got full stealth rating.
I think it's enabled by default on most routers, since it's not really such a big security risk.
correct me if i'm wrong but doesn't shields up scan your router (since its your first line of defense), so it really has nothing to do with CFP?
Yes, it scans the router first...
Cheers,
Ragwing