I thought the nVidia firewall was hardware optimized and part of the MCP so it probably does have lower CPU utilization. Here's a quote from an anandtech article about the nforce3 chipset.
The nVidia Firewall is a hardware-optimized solution and an integrated component of nVidia nForce media and communications processors (MCPs)....Because it is native, the nVidia Firewall eliminates many issues with software conflicts, improves throughput and protection, and lowers CPU utilization