Manjaro ships with a GUI Firewall configuration utility and it is also included in the latest release of mCOLe... did you see that in the settings manager? I also mentioned it in the Manjaro beginners tour video where I show that there is a GUI firewall software.
It does not make sense to ship a firewall already running as it could potentially prevent some programs from gaining access to the internet until rules are applied by an end user. And what about people like me who have a firewall built into the router? In this case I do not need to activate a software firewall on my machine, rather, I access the internet through a VPN for added security.