I've been using SE for the past 2 years and it is perfect for its price and I have a plan to at least use it for another year too. Its fluid animation and acceptable performance make it way superior to most Android phones. I switched from Nexus 5 and I am not going to buy any Android phone until Google guarantees I am going to get OS+Security updates for at least 4 years.
Configuring a firewall sounds like the opposite of the ease of use Apple wants to be associated with the App Store. Doubt that will ever be preinstalled.
I believe you could theoretically install one on iOS using the VPN functionality available... a quick google only finds “guardian mobile firewall” which is still in beta though.