From what I gather in searching for information about the built in firewall in 10.2, it is problematic at best. I don't have any experience with it, as I use a gateway router that is effectively a hardware firewall, but it also lets me share my internet connection more efficiently as well. Yes, this is a plug for using a gateway router, but in my experience they're simpler and more robust than a software connection sharing solution, plus they can provide some firewall functions as well.
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