I've managed to get my internet firewall working (kind off...)
The problem is with the WAN->LAN filter. By default it blocks all packets coming from the internet, even if it's a reply to a connection you have made.
To allow it to work, you should configure the filter. I haven't managed to make it work as stated in the "help", but if you create a rule specifing only the source port (for example, 80), leaving all other field blank, you can get the replies for the requests you have made.
Please if you get any more information on how to use the "internet firewall" do share!!!
Thks,
Pedro Duque