If you’re already pirating software then there is probably some kind of firewall solution you could also pirate to make it easier, so I don’t think there’s really much of an argument against it.

Something really funny happens when it comes to software for system administration, programming and Cybersecurity where the second best solutions are actually free (and almost always open source) ones, and the only things better than those free ones involve enterprise support contracts that cost more than your house every month and dedicated support people for every contract. And it's often arguable how much better those enterprise solutions are than the free and open source ones you can grab off of GitHub

In the case of firewalls specifically, windows firewall is actually more robust than whatever you might install onto windows, and the better thing to do would be to run Linux and use UFW or IPtables. Bonus points if you further sandbox the app via containerization. Or if you don't need granular application-level filtering a dedicated firewall/router like OPNsense/PFsense tends to be more than good enough for many small businesses