what
@danb35 is saying is that it isn't FreeNAS' job to be a firewall because it is a storage solution. That does NOT mean that you shouldn't have a firewall on your network.
You can look into off-the-shelf solutions or build another box to host your firewall, router, DHCP Server, DNS Server, VPN client, VPN Server, AV, traffic shaper, QOS etc etc.
some options are pfSense which is also based on FreeBSD, IPFire, IPCop