Not a problem. :)
Stateful inspection, like most things, is good and bad. It certainly gives the firewall another tool to use in securing your PC, but delving into the realm of theory it could also open up additional holes. If an attacker could successfully guess packet sequence numbers or spoof IP addresses, the firewall might pass malicious activity a simple packet filter would not. Same goes for activity originated by malicious software residing on your machine. If a virus or other malware could successfully establish a connection, a pure stateful inspector would likely let it do its thing. :(
And no, I'm not aware of any *specific* attacks of this nature. I also realize that firewalls implement stateful inspection in addition to packet filtering and generic rules based filtering, not in stead of. So in general, a stateful firewall is preferable to a packet filter IMO. On a typical single user's machine it's probably more of a "nice to have if you ever need it" sorta thing with the "ever need it" part being pretty unlikely. ;)