This might shed some light:
Stateful packet inspection
A second method utilized by firewalls is known as stateful packet inspection. Stateful packet inspection is a form of super-charged packet filtering. It examines not just the headers of the packet, but also the contents, to determine more about the packet than just its source and destination information. It is called a stateful packet inspection because it examines the contents of the packet to determine what the state of the communication is - i.e. it ensures that the stated destination computer has previously requested the current communication. This is a way of ensuring that all communications are initiated by the recipient computer and are taking place only with sources that are known and trusted from previous interactions. In addition to being more rigorous in their inspection of packets, stateful inspection firewalls also close off ports until connection to the specific port is requested. This allows an added layer of protection from the threat of port scanning
In lower-end devices, SPI's more like a "set-and-forget" feature. The better ones might write SPI events to a log, but I wouldn't expect much more from them.