During the installation of Identity Manager, when selecting to connect to an existing SiteMinder Policy Server, the installer sends out a ping request to the Policy Server.
If a firewall is in between the the two servers and is configured to block ICMP requests, the requests are not reaching the SiteMinder Policy Server and the installation cannot continue.
In order to allow the installation to proceed, there is a need to either disable the ICMP rule, or add a new one allowing for ICMP traffic between the Identity Manager and SiteMinder Policy Server. the rule can be removed after the phase of Policy Server detection.