The main thing you'll want to check here is the settings in the Firewall filter compared to the settings in your firewall connector. The default Firewall filter is based on the logic: Any Alert.ToolAlias = *firewall*, so if the Alias in your connector doesn't contain the word, "firewall," the default Firewall filter won't pick up any alerts from that connector/firewall. See the Note near the bottom of pg. 18.
Hope that helps.