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But to answer your good question, no: assuming you live in a house and not in a cave, you should NOT knock the icicles off your roof. The reason is that the icicles often form on your shingles. The shingles are what the icicles are attached to. You will instantly rip some of the shingles cleanly off your roof.
Likewise, should you knock icicles off gutters?
The icicles and ice dam add weight to your gutters that could tear the gutters from the house, causing significant damage. The ice can also get under your shingles and begin to leak inside your home, causing water damage. Don't try using a hammer or rake to knock large icicles off your gutters or remove ice dams.
Beside this, are Icicles a sign of poor insulation?
That means there's heat loss likely due to poor insulation and/or ventilation in the attic. Also keep an eye out for icicles — another sign of heat loss. If your roof is warm enough to melt the snow but it's cold enough outside for snow to refreeze, your roof is losing heat.
Icicles form on gutters when excess water is not allowed to flow freely through the gutters. In the winter, the heat inside your house will often keep the roof warm, causing snow that has gathered there to melt.