Hi Zeeman,
welcome to Mageia. It's a great community.
With your firewall question, Mageia (or any of the Mandrake descendants) have a fantastic GUI in the MCC (Mageia Control Centre).
https://wiki.mageia.org/en/Firewall Will take you to the wiki page on the Firewall. The wiki and the documentation has oodles of info, but sometimes it needs a bit of explaining for a user-case.
So feel free to start a thread in the general support area of the forum. But a quick answer, unless you're using a web/ftp/smb server etc the standard settings are pretty well locked down. There's a whole host of adjustments you can make through the firewall system, as well as Msec, the security package.
https://wiki.mageia.org/en/Msec In general these settings are locked down tight. At times I've had a web facing (ie. open to the internet with regards to accepting incoming connections) and had no hacking issues.
The forum is a great area if you do have any questions.
The teams are busy getting ready to release Mageia 7, so exciting.
*My* experience is if you can put up with the *buntu/mint way of life, pretty sure you'll find Mageia a breeze if you're able to just accept things are a little different, but IMHO, a whole lot better
Enjoy!