Thanks vjoshi. I just got a reply from Fortigate support. He suggests to apply the below config:
config firewall policy
edit <firewall policy ID)
set timeout-send-rst enable
set session-ttl <example: (300)> default value is 0
I haven't applied the change yet. I guess I will give it a try. However, I still don't quite get what the report is complaining about, since I see that the icmp/udp sessions disappearing after the TTL count reaching 0.
The PCI report is a feature for v5.4. System > Advance > Compliance.
It generates a report and a list of items for us fine tune.