I have an NF4 board and was pleased with the nVidia firewall at first, but then learned that it is not very good security-wise. I would recommend getting something like Kerio personal firewall, which is free for personal use.
The nVidia firewall performs very well, but it just doesn't do it right now. Maybe in the future they'll add better features to the software, but for now I would advise against it. Too many holes in it.
(I'm disappointed as well. I really like the concept of a built-in hardware firewall.)