NAT and Block Incoming IP rule

Just practicing with settings; I've got a small network (WiFi) of
three computers operating behind a NAT router.

My adsl router (Vigor 2600) is quite user configurable and has a
number of options in IP rules as well as 'keep state'.

If operating behind NAT is there any point in having a 'block all'
incoming rule? On my previous Linux dial up I had block all then allow
related and established connections; was only just getting to
understand it but the hardware router appears to take care of it all.

I have tried setting a 'block all' incoming IP rule and all my
connections appear to still work OK so either I have not done
something correctly or the NAT is allowing connected or associated
inbound traffic; which is obviously what I want anyway.

Geoff Lane