I have a security group with ICMP enabled and a machine (Windows Server 32bits) that uses it and I can successfully ping. Today I instantiated a new machine (Windows Server 64 bits) using the same security group. I'm not able to ping it neither from my machine nor from the 32bits instance. Nevertheless, I'm able to connect to it using Remote Desktop.
Have you checked Windows Firewall on the new instance? By default, it does not allow ICMP packets.
While working with AWS, you have 2 types of firewall. One is the security group and the other one is your local PC's firewall. Always check both of them!