Seeing that you provide feedback and don’t forget about the thread you start, like some – nay, many others do – I was motivated into adding my input.
Three questions are involved here. But before we come to them, free firewalls are primarily intended to induce you into buying the paid version, and to achieve that, they lack some convenience features for nuisance-free use, which are reserved for the premium product. This is understandable. What is not understandable is why your paid version lacks them. But fortunately, there are superior alternative choices, so I wouldn’t advise you to waste too much time and effort trying to fix this one. Let them do their own software development.
And now to your specific questions:
1 If you are prepared to pay for a firewall, I personally consider Agnitum Outpost the best as regards security. It also learns quickly and in fact comes with built-in rules that help it make its own decisions with minimum user intervention. But I clarify that the advantages are only applicable to the firewall, not the antivirus included in the complete security suit, so you don’t want the latter, especially if you already have a good antivirus.
2 Routers come with their own firewall, which usually does good work, so it should be a viable solution for you, and you wouldn’t need an additional desktop firewall.
3 The Windows SP firewall only controls incoming traffic, not outgoing. So if you are already infected with a Trojan or keylogger, it won’t stop it from sending collected data to its boss. Consequently, this firewall is not to be recommended.
Last but not least, as you aptly mention, you still need good on-guard antivirus and antispyware protection, in addition to the firewall, plus…common sense in your own actions, which no product can provide you, but you don’t seem to lack it.