PMTU Discovery capture

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I am trying to capture PMTU Disovery using ping on a Windows client as below

ping <ip addrerss> -f -l 1480

The above command will return "Packet needs to be fragmented but DF set" (as I expected). However in the Wireshark trace I can not see this packet, I would expect to see a destination host unreachable ICMP packet

When I do a ping without the fragemented packet, I can see the ICMP capture in Wireshark.

Am I correct in thinking a firewall/router etc is dropping the ICMP packet hence not in the trace file